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Herman
MM is very hard to code... as you stated, the returns dwindle greatly
so you ligitimately ask "is it worth it?".
Consider test results that show a stop loss reduces your results
considerably, maybe even makes your sstem a losing one.
Since we know that the system was more profitable without stops, it
means that some of the stocks that went down will come back up again.
If you were to buy again, some of those stocks at a lower price, your
performance would improve over the original system, with lower
drawdown.
The problem of course is that those stocks don't meet your original
buying criteria, so you have to develop a whole new set....
My simplistic approach has been to test a system with a sell after x
number of days and primaril look at the % winners, in order to
evaluate the quality of entry. Practice MM in real trading. Naturally
this is somewhat time comsuning....
So in short, I beleive MM is worthwhile, but coding is at a much more
complex level than just working with a set of indicators...
Ara
--- In amibroker@xxxx, "Herman van den Bergen" <psytek@xxxx> wrote:
> I have just one question: Does it really work?
>
> Is it worthwhile for me to spend hundreds of hours reading boring
> books and trying all kinds of code that doesn't work?
>
> Can anybody honestly tell me that they increased performance of
> their trading system by more than 100% or reduced their Drawdowns
> by 50% or more, using money MM techniques? Or even better: turn a
> loosing system into a winner?
>
> Or is it ALL about reducing risk and never mind that the profits
> dwindled to 20% of what it was before MM?
>
> Any encouragement for me to dig into, or not to dig into, this
> topic would be appreciated. Examples of how MM benefited you
> would be appreciated...
>
> Many thanks,
> Herman.
>
> PS. Are MM techniques implemented in AB or externally?
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