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Al,
Excuse me but how many times will ask the same question?
I know how TR program works. And I already wrote that in the future
AB will support TR-style operation. That's all I have to say.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Al Venosa" <avcinci@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, October 30, 2002 9:28 PM
Subject: [amibroker] Dynamic Money Management
> 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 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 V.
>
>
>
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>
>
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