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He knows because he has kept track of all his trades over the years. He says he is seldom wrong when he makes a decision to buy, but when he is wrong, he is out in a flash. And, he has defined rules of getting right back in if the market warrants. Now, since the market has been in a bear mode since early 2000, he is not currently trading CANSLIM (and wasn't then, a year ago), which works only in bullish markets (I believe even William O'Neil has been in cash since 2000). He uses other techniques besides CANSLIM, but Dennis is more discretionary than mechanical by nature. Why does Tharp teach discretionary system trading in his advanced stock market course? I really don't know other than to say he likes Dennis Ullom and his approach to stock trading. The System Development course of Tharp's, which features Chuck LeBeau, teaches mechanical system development exclusively. So, if you are thinking about taking one of his courses, I would recommend the system development course if you are more mechnically inclined. Chuck LeBeau also offers his own course on system development that is cheaper than Tharp's but does not include the MM marble games.
AV
>From: "Rick Parsons"
>Reply-To: amibroker@xxxxxxxxxxxxxxx
>To:
>Subject: RE: [amibroker] Re: Dynamic Money Management
>Date: Thu, 31 Oct 2002 10:44:33 -0500
>
>Al,
>Your description of the course confuses me. I am going thru Tharp's "Trade Your Way to Fin. 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?
>
>Thanks again for the input.
>
>Rick
> -----Original Message-----
> From: Avcinci [mailto:avcinci@xxxx]
> Sent: Wednesday, October 30, 2002 8:59 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Re: Dynamic Money Management
>
>
> I liked it for the most part. The marble games Van uses to teach you the 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
> ----- Original Message -----
> From: Rick Parsons
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, October 30, 2002 8:24 PM
> Subject: RE: [amibroker] Re: Dynamic Money Management
>
>
> Al,
> Thanks for sharing! You saved me some serious number crunching.
>
> How did you like the course?
>
> Rick
> -----Original Message-----
> From: Avcinci [mailto:avcinci@xxxx]
> Sent: Wednesday, October 30, 2002 8:09 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: 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.
> ----- Original Message -----
> From: Rick Parsons
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, October 30, 2002 7:43 PM
> Subject: RE: [amibroker] Re: Dynamic Money Management
>
>
> >>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.
>
> 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)
>
> 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.
>
> Comments?
>
> Rick
> -----Original Message-----
> From: tchan95014 [mailto:tchan95014@xxxx]
> Sent: Wednesday, October 30, 2002 5:02 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Dynamic Money Management
>
>
> I 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, 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 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" 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 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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