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Hi Stephane- And the best way that I know of to understand it is monte
carlo simulation (MCS). MCS makes it simple.
Mark
--- In amibroker@xxxx, "Stephane Carrasset" <nenapacwanfr@xxxx> wrote:
> 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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