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OK
Bill, you make a good point: I gather from the posts that Money Management
does NOT improve profits, instead it decreases profits by protecting you
from system failure. I misunderstood that MM might improve my system
performance.
<SPAN
class=760353915-18102002>
It
would appear that the worse your system is the more you need MM - wouldn't
it make sense to spend more time on system improvements instead of protective
measures against system failures? A good trading system should by definition
require minimum money management to protect you. Obviously the popularity of MM
is due to the fact that there are many traders who use flawed systems and
who require lots of protection. Some smart people are giving it as much
hype as they can and even turned it into a business. If you drive a car that
needs fixing would you fix the car or buy better insurance?
<SPAN
class=760353915-18102002>
I
think I'll let this topic be, also I'll forgo the study of MM for awhile,
at least until I have exhausted all possibilities of improving my trading
systems and that may prove to be awhile. Looks like MM is just another
distraction from the real task at hand.
<SPAN
class=760353915-18102002>
Thanks
for all the comments and URLs. It was great fun :-))))
<SPAN
class=760353915-18102002>
best
regards,
<SPAN
class=760353915-18102002>Herman.<FONT color=#0000ff face=Arial
size=2>
<BLOCKQUOTE
>
<FONT face=Tahoma
size=2>: wavemechanic [mailto:wd78@xxxx]Sent:17
October, 2002 11:06 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] Re: Once again:
MoneyManagement
Herman:
FWIW, I think you are asking the wrong
question. It is highly unlikely that anyone improves their model
testing returns with risk control, and it is highly unlikely that someonewho
does not use risk control can convincingly demonstrate improved (relativeto
what and by what measure?) "RT" trading performance over a reasonable
time. By definition, risk control will constrain the system in someway
in return for what the trader considers to be benefits (e.g., lower drawdown,
smaller losses, larger gains, diversification, etc.). However, it is
likely that those who incorporate all aspects of risk control (i.e.,not
just stops) are not the ones that are blown out of the water financially
and/or in terms of physical/mental health, and that is what risk control is
all about. Consequently, the question really is
can you demonstrate to your satisfaction that failure to use risk
control did not contribute to failed traders. It seems quite logical to
me and I have not seen any claims to the contrary.
Bill
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Herman van den
Bergen
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>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
that the 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 MMoneof
those?The problem is that we can "justify" and "rationalize" just
about any ideawe 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 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 methodis
there?Best regards,Herman.> -----Original
Message-----> From: akaloustian [mailto:ara1@xxxx]>
Sent: 17 October, 2002 11:27 AM> To: <A
href="">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?>>>> Post
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