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Hello,
I agree with Hermann for its question about MM, because if we take a
profitable system ( not tradable because of the zig function) and
apply it with a simple position size= -10
the system is losing ( it is incredible because the zig look in the
future !!!)
I think we must first understand how is calculated the profit in
AMibroker with position size,because this is the reason of the
doubts about MM
stephane
> Herman- With all due respect, many of your conclusions are flat out
> wrong. You haven't even read Van Tharp's stuff, let alone tested
it
> so that's not surprising.
>
> I don't have time to give a point by point dissertation, so will
leave
> you with the big picture. Read "Trade Your Way to Financial
Freedom"
> and *test* some of the ideas with monte carlo simulation. You
don't
> need any of his other reports or references. There are better money
> management algorithms out there, but the principles in this book
> *really* work. And unless you roll up your sleeves and *work* with
> them so you can truly understand them, it will all go completely
over
> your head. No way can you get it by reading opinions. This is
*not*
> subjective, it's mathematics.... black and white.
>
> Sorry if this appears harsh, but I'm continually amazed at how you
and
> other *really smart* people on this thread just don't get money
> management. I'm *not* going to get into a pissing contest about it
> and prove that the earth is not flat. I already know it isn't.
But
> if anyone's truly interested in learning about it (and nice), I'll
be
> happy to lead a thread that walks everyone through examples. But
the
> participants will need to do most of the work. Because if I spoon
> feed it, nobody will get it or appreciate it.
>
> Best Regards,
>
> Mark
>
> "No good deed goes unpunished."
> - Related by Steve Karnish
>
> --- In amibroker@xxxx, "Herman van den Bergen" <psytek@xxxx> wrote:
> > A personal review by Herman van den Bergen.
> > October – 2002
> >
> > A sincere thank you to all who participated!
> > This thread took place on 17 October, 2002 and started with my
> > post "Once again: Money Management". I collected all the
> posts in
> > a word file (27 pages!) and read it several times. Some of the
> > examples were very convincing however in the end they, except for
> > some "personalized versions", lacked practical substance. Most
> > were based on or were similar to van Tharp's examples. I have
> not
> > read van Tharp's books and reports (but will in a few weeks) so
> > consider my words in that context.
> >
> > Whenever somebody tells me this or that works fantastic I turn
> > skeptical, so it went with MM. If you want limited risk: go with
> > it! If you have developed a high performance trading system,
> don'
> > t use it: find a better way! Van Tharp's style of MM has great
> > appeal to traders because it promises limited risk. Many readers
> > are excited that van Tharp can make a random system profitable –
> > personally I think he wishes he had never voiced that example.
> >
> > For van Tharp, Ralph Vince and others to perform experiments with
> > basically market-naïve people is deceiving. Nobody on this list
> > (I hope) is suggesting that you trade without planning, without
> > research, and without many hours of system development. If you do
> > so you will loose money, no doubt about it.
> >
> > I have been investigating MM only for a couple of weeks and while
> > I agree it may have lots of merit when trading margin or futures
> > I am still not convinced that van Tharp's style of money
> > management is the way to go for high performance mechanical
> > trading systems. I don't think his style of MM was designed for
> > those systems, we are in a new era of system design, his ways are
> > the old ways. Markets and technology change.
> >
> > I am saddened by the fact that quite a few system developers are
> > satisfied with low performance systems; perhaps they are more
> > traders than system designers. I am not looking for the HG and I
> > am not chasing a mirage; however two years of testing have
> > convinced me that it is possible to design many different styles
> > of high performance trading systems – if you work hard at it.
> >
> > Let me share with you what I learned/concluded from the thread:
> >
> > a.. Even if one doesn't strictly adhere to MM one should know
> > about it.
> > b.. The need for MM increases with the amount of leveraging you
> > use.
> > c.. MM Will suck the life out of any high performance
> > mechanical trading system
> > d.. Don't believe that if you have a marginal trading system
> > using MM will make you rich.
> > e.. Probability of profits and risks should be factored into
> > trading systems.
> > f.. Most of the protection provided by MM can be duplicated
> > through good system design and common sense portfolio management,
> > and so without the disastrous effect on profits due to the
> > application of universal statistical rules.
> > g.. The greatest risk to traders is emotional trading, use a
> > mechanical trading system if you can, invest small amounts you
> > can afford to loose, trade multiple systems, perhaps use AT or
> > have somebody else trade for you.
> > h.. Nobody has embedded MM into a mechanical trading system,
> > however it should.
> > i.. I still do not know how to apply MM to groups or stocks or
> > to TTM systems
> > j.. Do not use MM to compensate for weak system design
> > k.. Even when using MM profits will increase when system
> > performance goes up, do not use MM as an excuse to stop work on
> > your trading systems
> > l.. I still know of no way to evaluate or backtest MM
> > techniques
> > m.. Many MM examples use simplistic conditions to exaggerate
> > the effects of MM.
> > n.. Parameters like Expectancy may have a place in stock and
> > system screens
> > o.. One can Optimize trading systems for probability based
> > parameters, like probability of profits, winners/losers, DDs,
> > etc.
> > Here are some of the URLs and other sources of information that
> > were mentioned:
> >
> > a.. Van Tharp's book "Trade Your Way to Financial
> Freedom"
> > b.. Van Tharp's "Money Management Report"
> > c.. http://www.turtletrader.com/money.html for a good
> > discussion on MM.
> > http://www.turtletrader.com/money5.html another good MM
> > article
> > d.. http://keplerweb.oeh.uni-linz.ac.at/trading/moneyMan.htm 10
> > Free MM lessons
> > e.. http://www.streetstories.com/vt_futures96.html Interview
> > With Van Tharp:
> > f.. www.iitm.com to learn more about MM
> > g.. http://www.travismorien.com/FAQ/gfallacy.htm On the
> > gambler's fallacy
> > h.. Fundamentals of Money Management Part I
> >
> > http://www.tsresearchgroup.com/print.php?lang=en&page=public&arti
> > cle=public_20020402010830
> > i.. Fundamentals of Money Management Part II
> >
> > http://www.tsresearchgroup.com/print.php?lang=en&page=public&arti
> > cle=public_20020402010739
> > j.. Fundamentals of Money Management Part III
> >
> > http://www.tsresearchgroup.com/print.php?lang=en&page=public&arti
> > cle=public_20020402010706
> > There were many excellent posts, I have a Word file if you would
> > like a copy send me an email with "Please email
> MMSummary.doc"
> > and I'll send you a copy.
> >
> > Thank you all for you marvelous participation!
> > Best regards,
> > Herman
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