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Hi all
who are interested in sophisticated methods
regarding MM. Try this site
<A
href="">http://www.netcapper.com/TrackTractsArchive/TT010302.htm
on the Kelly Method.
Regards,
Udo
<BLOCKQUOTE
>
-----Ursprüngliche Nachricht-----
<DIV
>Von:
Avcinci
An: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Gesendet: Samstag, den 26. Oktober2002
16:57 Uhr
Betreff: Re: [amibroker] Money Management
(MM) - Thread Summary
<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 onemore
time, and then I'll stop.
<SPAN
class=250430113-26102002>
<SPAN
class=250430113-26102002>"High Performance systems" are those thatgive
>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 youknow
when your system suddenly stops performing? I presume you won't know until
after you 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 riskand
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 thesame
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.I don't
know how to test the type of MM I've been talking about either other thanby
engaging in trading simulation games. So, you still use Amibroker to helpyou
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>
<SPAN
class=250430113-26102002>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 thinkit works
because all it is is an application of a mathematical manipulation of howyou
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>
<SPAN
class=250430113-26102002>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 wouldtake 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
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