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Hi mark,
yes it must ( I have read the book and found it essential +++)
but it is not obvious with the position size .
it is important to understand how it works ( and sometimes I am lost)
stephane
> Hi Stephane, that may be true, but that was not my point. I'm just
> saying that Van Tharp's methods work if applied correctly.
>
> Mark
>
> --- In amibroker@xxxx, "Stephane Carrasset" <nenapacwanfr@xxxx>
wrote:
> > 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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