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<FONT color=#000080
size=2>Al,
Your description
of the course confuses me. I am going thru Tharp's "Trade Your Way toFin.
Freedom" and he talks about developing a mechanical system with positive
expectancy. So why are they teaching a "discretionary" system??
How does Dennis know if his method has positive expectancy?
<FONT color=#000080
size=2>
Thanksagain for
the input.
<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 8:59
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Re: Dynamic Money Management
I liked it for the most part. The marble games Van uses to teach youthe
value of money management gave much amusement and taught valuable
lessons. As far as the rest of the course, it was taught by Dennis Ullom,a
CANSLIM stock trader. He went over in great detail his interpretation and
modification of CANSLIM type of trading. He uses extremely tight stops (less
than $1, sometimes fractions of a dollar), thereby enabling him to take on
huge positions. Although I've always been intrigued by CANSLIM, it's not
really for me. I'm more of a mechanical type of trader. I don't want to rely
that much on discretion to guide my decisions. If you are more of a
discretionary trader, you would probably love this course.
AV
<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 8:24
PM
Subject: RE: [amibroker] Re: Dynamic
Money Management
<FONT color=#000080
size=2>Al,
Thanks for
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: <A
href="">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 upall
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@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, October 30,2002
7:43 PM
Subject: RE: [amibroker] Re:
Dynamic Money Management
<FONT color=#000080
size=2>>>long enough to earnyour
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 appearsto
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,
2002 5:02 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: Dynamic
Money ManagementI completely agree with the
quoted message. TR is flexible enough to allow for almostany
(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 andnot
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, 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 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 came out ofmy
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. Iown
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 youdo
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.Post AmiQuote-related
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