|
PureBytes Links
Trading Reference Links
|
>><FONT
color=#000000 size=3>long enough to earn your EXPECTANCY
returns<<
I am in the
middle of Tharp's book, Trade Your Way to Financial
Freedom, and just finished the chapter 6 on Expectancy. The
idea of expectancy is an excellent way to pick the "best"
system.
<FONT color=#000080
size=2>
However if one
wants to calculate Expectancy the way Tharp does, it appears to be VERY
cumbersome when one has to group trades into profit ranges then calculate each
group separately to get the overall expectancy number. (See pages 149-
158)
<FONT color=#000080
size=2>
So I would
imagine if one wants all the MM and Dynamic Portfolio features, Amibroker should
first calculate expectancy on each system to make sure we have a positive
expectancy system.
<FONT color=#000080
size=2>
<FONT color=#000080
size=2>Comments?
<FONT face="Vladimir Script" color=#000080
size=5>Rick
<FONT face=Tahoma
size=2>-----Original Message-----From: tchan95014
[mailto:tchan95014@xxxx]Sent: Wednesday, October 30, 20025:02
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]Re:
Dynamic Money ManagementI completely agree with the
quoted message. TR is flexible enough to allow for almost any (risk)
ideas you can think of to do the position sizing: newrisk, volatility,
margin, market activities, group risk, group heat, portfolio risk /
heat... and yes, the portfolio level position sizing is the best feature.
You can even combine different systems each with different portfolio.It
is a DOS software but it is powerful.Money management (or rather
more accurately, position sizing or bet sizing) is an area not very often
discussed and not often appreciated.I have posted some time ago, you
can get some very detailed info from TradingRecipes.com as well as
traderclub.com by searching on "Mark Johnson"This gentleman was
kind enough to post many of the ACTUAL works he put in using
TR. 1) He offered right there a very simple long term trend
following system that works for FREE. 2) He tested it
using 1-contract with the worst possible fills you can get
3) He test it using regular 1-contract test 4) He then tested
it using TR with position sizing with a portfolio of more than 10 or 15
futures contracts (You even get the TR code for FREE too, it is so easy
you can learn by reading it and understand the logic behind
it.) 5) He tested them over 10 or 20 years of history
data. It is an eye opening experience you do not wantto
miss.He also listed his own trading results from actually following a
vendor system for 3 or 4 years, most people would agree it was
excellent results.Go to both sites mentioned above and read as
much as you can. If you are interested in this subject, I have not found a
better place for education. All others only talk (including Tharp,
although I have to admit his book is OK), but you see hard numbers
here.While we are searching for a Holy grail system spending endless
time there, position sizing might offer a much easier path because it
optimizes the profit while controls the risk of your choice, you know
you can live long enough to earn your EXPECTANCY returns.Wealth
Lab is another software that claimed to have this capability but again is
never actually verified to be correct. (There was a long debate,
discussion and even tests on the trader club board about this but was
never actually confirmed whether it is working correctly.)TR willcost
you > $2000 while Athena, last heard, will cost you > $40000 (that
is right!) They were originated from the same idea and might even be from
the same group of persons (NOT Tharp though)I think, AB even withits
current capability is very close to be able to do the portfolio level
position sizing already. (with this AddToComposit() for now. Do not quote
me, it just came out of my head.) I think Tomasz can do it in a very short
time, the only issue is to test it. It takes time to provide all the
flexibility and iron out all the bugs, it is a big challenge.With
current AB structure,I think it has paved ways for much more flexibility
than TR can ever provide. Monte Carlo, 2/3D surface chart built in, any
taker? ;-)Bob from TR has promised a window version for years, but
nothing has come out yet.Thomas--- In
amibroker@xxxx, "Al Venosa" <avcinci@xxxx> wrote:>
Tomasz:> > Yesterday, I posted a message on Van Tharp's forum
about your plans > to incorporate innovative money management and
pyramiding techniques > in a future version of AB. Below is a
response from a user of Trading > Recipes, who claims that TR is
the only software that handles MM > corrrectly. Here is what he
said:> > "It DOES position sizing. the RIGHT way. I own the
program and it is > GREAT. It took me about 5 minutes to get over
the fact that it is > still a DOS based app. But it's really the ONLY
tool that does it the > correct way.> > I talkedto
AmiBroker about 6 months ago, and they told me the same > thing. Plus
once they do release the program with position sizing, it > still
has to be proven that they have done it right. > > There are
three other companies that I know have that have tried to > do position
sizing. Two of them got it wrong. www.rinasystems.com and >
www.bhld.com> > The third is the athena program that is
mentioned in Van's book. I > haven't ever had the privilege of playing
with that program, but I > believe I read somewhere that it used output
files from trade > station. So, it would also fall into the category of
a program that > isn't truely implementing position sizing at the
portfolio level like > Trading Recipes does."> >To
explain what he meant by doing it 'the right way', here is what he
> said: > > "TRADING RECIPES' approach lets you combine
trading signals and trade > sizing strategies into simulations
which exactly mimic the way you > would trade in real time. A core
feature, which sets it apart from > all other "money management" (or
backtesting) software, is its > ability to perform dynamic money
management (DMM) and risk control at > the portfolio level. With
DMM, position sizes are determined with > full knowledge of what's
going on at the portfolio level at the > moment the sizing decision is
made. Just like you do in reality. > Other software packages simply sum
individual pre-calculated equity > curves. This way, position sizes are
calculated with no knowledge of > what the current portfolio
conditions are at the crucial moment when > a position sizing
decision is to be made. This is not how you would > make decisionsin
reality and therefore such simulations offer no > useful information to
the trader. DMM avoids this pitfall."> > TJ, will your approach
be able to do DMM as described above? > Personally, I have no desire to
use any program based on DOS. I think > the position sizing
algorithm now included in AB does almost what > this guy describes
except for scaling in and out of trades and basing > one's
decisions on the value of the entire portfolio of multiple > stocks
rather than a portfolio of one stock. > > Al V.Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
|