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<SPAN
class=250430113-26102002>Herman:
<SPAN
class=250430113-26102002>
I, too, enjoy your
posts because they make me think. Even though you are a recalcitrant curmudgeon
:-))), I still like you and your posts! Let me answer one more time, and
then I'll stop.
<SPAN
class=250430113-26102002>
"High
Performance systems" are those that give >100%ann.. on the average
(N100) per year when they work...Never argue with your
system performance indicators as they are much more important than market
(trend) indicators.
<SPAN
class=250430113-26102002>
Question:How do you
establish system performance indicators? More importantly, how do you know when
your system suddenly stops performing? I presume you won't know until afteryou
have suffered some losses. Yet, even when you are winning, there is a finite
probability that you will suffer a string of losses. So, how do you know when
your system is performing poorly before it is too late to stop trading
it?
<SPAN
class=250430113-26102002>
My
revised :-) understanding of MM is that it trades profits for safety. I
believe you can reduce risk by diversification in stocks and systems.
Even "Market Wizards" and "Gurus" go out of style ...most of them talk about
past accomplishments. They can use knowledge and trading
methods way beyond anything we will ever command - they are out of our
league.
<SPAN
class=250430113-26102002>
I really don't think
MM trades profits for safety. Take a look at my post to Thomas a few minutes ago
regarding risk betting in a trading simulation game. You can take much larger
positions on your individual trades as long as you recognize you are playing
with both your money AND the market's money. You control risk and still advance
your profitability greatly without affecting expectancy. This is all part of MM.
Diversification has nothing to do with any of this. Each trade you make, whether
you are trading correlated markets or not, is treated the same way (i.e., based
on your equity at the time of the trade). And, of course, there is nothing wrong
with emulating market wizards and gurus. They trade big bucks, we trade small
bucks. But the principles are exactly the same regardless of your account size.
<SPAN
class=250430113-26102002>
2) I
emphasized that my statements were based on personal experience, they reflect
what happened when I applied van Tharp's ATR stops to my systems: it
literally killed them flat. Perhaps wrongly, I assumed that since they are
called Tharp's stops that they are part of MM. I didn't know how to test
anything else in MM.
<SPAN
class=250430113-26102002>
Agreed. Idon't know
how to test the type of MM I've been talking about either other than by engaging
in trading simulation games. So, you still use Amibroker to help you develop
your system based on your trading rules. You then go to the simulation games and
practice various MM strategies to see how well your profitability behaves when
using innovative MM techniques.
<SPAN
class=250430113-26102002>
<FONT
color=#0000ff>So, we are really talking about something they say that works but
nobody has confirmed it at our competence level?
<SPAN
class=250430113-26102002>
I think it works
because all it is is an application of a mathematical manipulation of how you
bet. Professional blackjack and poker players and other game theorist
types use these techniques all the time. They have nothing to do with your
trading system. That's what you have to keep in mind.
<SPAN
class=250430113-26102002>
<FONT
color=#0000ff>But the discussion raised points that would not have been covered
after I'd been brainwashed like you. It is like TA, you can really get sucked
into sophisticated chart analysis using the weirdest (sorry folks) graphing
tools or even the position of the moon (sorry again) while simpler methods work
just as well or better. Please don't react by starting a thread on the
merits of golden age TA... :-)
<SPAN
class=250430113-26102002>
I would take issue
with your use of the word "brainwashed." Don't worry, I didn't take it
personally. I think I just bought off on the whole idea of MM because it makes
mathematical and logical sense to me, and of course mathematics is the purest
science, as you know. I wholehearted agree with you on the use of TA; in that
regard, we are very much alike. I strictly adhere to the KISS principle.
<SPAN
class=250430113-26102002>
Thanks again,
Herman, for a great thread. Now, back to system development!
<SPAN
class=250430113-26102002>
Al
V.
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