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Mark,
I'm interested in Monte Carlo simulation. Can you offer a reference
on how to do such an analysis? I presume you do it in Excel? Thanks.
Al V.
--- In amibroker@xxxx, "MarkF2" <feierstein@xxxx> wrote:
> 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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