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<FONT color=#000080
size=2>Al,
Thanksfor
sharing! You saved me some serious number crunching.
<FONT color=#000080
size=2>
How did you like
the course?
<FONT face="Vladimir Script" color=#000080
size=5>Rick
<FONT face=Tahoma
size=2>-----Original Message-----From: Avcinci
[mailto:avcinci@xxxx]Sent: Wednesday, October 30, 2002 8:09
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Re: Dynamic Money Management
Not any more Rick. When I took Tharp's Advanced Stock Market course
last year, he made a point that the way he suggested calculating expectancy in
his book is indeed very cumbersome. However, he said there is a much easier
way. You simply calculate everything in terms of R-multiples (multiples of
risk). For example, suppose you risk 1% of equity on each trade, and your
initial equity is $100,000. So, the value of 1R is $1000. If your first trade
makes $3000, you have made a 3R profit. If you lose $1500, you lose 1.5R,if
you make $10,000, you make 10R, etc. The easiest way to calculate expectancy
is simply to add up all your R-multiples, net them out by subtracting the
negative R-multiples from the positive ones, then divide by the no. of trades.
This gives you your expectancy per trade. Should be very simple to do in AB.
Al V.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=RickParsons@xxxx
href="">Rick Parsons
To: <A title=amibroker@xxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, October 30, 2002 7:43
PM
Subject: RE: [amibroker] Re: Dynamic
Money Management
>><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>
SoI 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, 2002
5:02 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 want
to 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, Ihave
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 amuch
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 will cost 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 with its 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 cameout
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 flexibilityand
iron out all the bugs, it is a big challenge.With currentAB
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 ownthe
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 talked to 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 decisions in 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
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