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Herman,
I'm concerned about what you mean by MM. Do you mean placing stoplosses, or
do you mean determining how much to invest on each trade? Perhaps you should
define what YOU mean by MM. Ara seems to be equating it with stoplosses. Isthat
how you see it, too? It is well known that stoplosses diminish your profits.
There is no quarrel with that. However, in the process of doing so, such
stoplosses also preserve your capital so you can stay in the game without
experiencing ruin. I would have no problem earning 50% per year rather than300%
per year, as in your example. Making 50% per year is the holy grail! I don't
consider that a denegration of a system without stops. In fact, I would never
believe anyone who claimed they consistenly earn 300% per year. If that were the
case, they would own the planet in a very short time period (you'd double your
money every 3 months!!). In my estimation, one's goal should be preservation of
capital (minimizing risk) while attaining the highest profitability one can
muster without risking ruin. One does that with intelligent MM. I wish I had the
trading experience to prove it to you. I'm getting closer to developing a
trading system that is right for me. When I begin trading, I will report how
successful I am using MM techniques. Until then, I can only speak theoretically,
unfortunately. But the people I have learned from are traders who have usedMM
successfully over the years. It is my understanding that those traders who
consistently lose are those who do not use MM properly or at all. How do you
determine how much to buy when your system signals a buy or short?
Al V.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Herman vanden
Bergen
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, October 18, 2002 9:57
AM
Subject: RE: [amibroker] Re: Once again:
MoneyManagement
Thanks Ara,The question remains: Has "Anybody"on
this list improved their systemreturns by applying MM techniques? We have
seen advocates of MM but not asingle person comes forward to say thatthe
performance of their System+MMis better than the System alone.We
all use simple common sense MM methods, like DT uses a personal MMscheme,
and most of us have one to suit our personal tolerance for stressand
financial loss. However when I say MM I mean those you find in $100books,
or $2000 trading systems...I have seen hype about all kinds of things
in the trading world, oftendriven by advertising and other means intended
to sell this or that. Is MMone of those?The problem is that we can
"justify" and "rationalize" just about any ideawe want, no matter howbad,
especially so if we can make money doing so. OK,you are right: I am a
skeptical person :-) the reason is that I have wastedway too much time
chasing "good" ideas from others. With a few exceptions Ifound 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@xxxx]> 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> > dwindledto
20% of what it was before MM?> >> > Any encouragementfor
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 ABor
externally?>>>> Post AmiQuote-related messages
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