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I have no idea what TJ's approach is in back test and position sizing
combo. As far I as know, the reason that TR separates the backtest
algorithm (1 contract) from position sizing (multiple contracts) is
to allow for testing multiple position sizing algorithm without
having to rerun the backtest every time. You run the backtest once
and then run as many as you want the position sizing algorithm base
on the backtest results. Just like your database, you need only one
copy, but when you run different trading systems you do not need to
create a new database (even though it has exactly the same content)
every time. But, for sure, TR does not allow for optimization at all,
this would be a tremendous advantages I think TJ would definitely
includes in the final product.
Thomas
--- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> Hello,
>
> Excuse me but asking over and over the same question does not speed
> up the development even a bit. In fact it slows it down.
> I am bringing as many new features as I can.
> Some people are exited about DMM some others are exited about
> charting some others are exited about new feeds and some others are
> exited about SDK.
>
> Unfortunatelly I have limited resources and I can not
> deliver "instant" satisfaction in all areas people are exited about.
>
> Frankly speaking TR model is not as good as some "TR-evangelist"
> preach. Some limitation is mainly caused by the fact that TR model
applies money
> management AFTER backtest.
>
> I won't dig into this now because of lack of time.
> Anyway new backtesting engine will allow all that TR allows plus
more.
>
> BTW: TR sells for $2295 (http://www.tradingrecipes.com/order.html)
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "dingo" <dingo@xxxx>
> To: <amibroker@xxxx>
> Sent: Thursday, October 31, 2002 2:26 PM
> Subject: RE: [amibroker] Dynamic Money Management
>
>
> > That's a little harsh, TJ.
> >
> > I think everyone is very excited about the new MM plans and are
waiting
> > with nervous anticipation for what we all hope will be the finest
MM
> > feature in any TA product. Hence all the questions. Sort of
like when
> > you were a child and got excited about a new toy that your parents
> > hinted at but didn't tell you all of the details.. It made you
more
> > excited and more curious.
> >
> > It's a very exciting time in AB land!
> >
> > dingo
> >
> > -----Original Message-----
> > From: Tomasz Janeczko [mailto:amibroker@x...]
> > Sent: Thursday, October 31, 2002 2:19 AM
> > To: amibroker@xxxx
> > Subject: Re: [amibroker] Dynamic Money Management
> >
> >
> > 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@xxxx>
> > 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.
> > >
> > >
> > >
> > > Post AmiQuote-related messages ONLY to: amiquote@xxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > >
> > > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > > Your use of Yahoo! Groups is subject to
> > http://docs.yahoo.com/info/terms/
> > >
> > >
> > >
> >
> >
> >
> > Post AmiQuote-related messages ONLY to: amiquote@xxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> >
> > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to
> > http://docs.yahoo.com/info/terms/
> >
> >
> >
> >
> >
> > Post AmiQuote-related messages ONLY to: amiquote@xxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> >
> > Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
> >
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