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Thanks Ara,
The question remains: Has "Anybody" on this list improved their system
returns by applying MM techniques? We have seen advocates of MM but not a
single person comes forward to say that the performance of their System+MM
is better than the System alone.
We all use simple common sense MM methods, like DT uses a personal MM
scheme, and most of us have one to suit our personal tolerance for stress
and financial loss. However when I say MM I mean those you find in $100
books, or $2000 trading systems...
I have seen hype about all kinds of things in the trading world, often
driven by advertising and other means intended to sell this or that. Is MM
one of those?
The problem is that we can "justify" and "rationalize" just about any idea
we want, no matter how bad, especially so if we can make money doing so. OK,
you are right: I am a skeptical person :-) the reason is that I have wasted
way too much time chasing "good" ideas from others. With a few exceptions I
found it better to just go my own way, sometimes by reinventing the wheel...
but so what? What better learning method is there?
Best regards,
Herman.
> -----Original Message-----
> From: akaloustian [mailto:ara1@x...]
> Sent: 17 October, 2002 11:27 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Once again: MoneyManagement
>
>
> 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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