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Enough time on MM, I stuck it out way too long. I am going back
to my other work where I am getting more tangible results.
I am disappointed about all the hoopla about MM (it sounded like
the HG of MM) that hasn't resulted in any practical and
verifiable code whatsoever. Much of Tharp's book deals with
issues that are irrelevant to the true mechanical trader, imho he
is inconsistent in his method and presentation. He blends the
most basic stuff with advanced stuff which I find very
distracting. Book stuffing? But perhaps I am just not smart
enough
If anybody ever develops some practical afl code or has a
complete an applied case with tangible results, not just words, I
would appreciate you sharing it.
happy trading,
Herman.
-----Original Message-----
From: Rick Parsons [mailto:RickParsons@x...]
Sent: 31 October, 2002 10:49 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Re: Dynamic Money Management
Herman,
Your formula listed at the bottom of the chart may be outdated.
Did you see Al's post on R multiples and how Expectancy changes
as equity changes?
Rick
-----Original Message-----
From: Herman van den Bergen [mailto:psytek@x...]
Sent: Thursday, October 31, 2002 1:49 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Re: Dynamic Money Management
Hi Rick, glad to see somebody else struggle through this :-)
we should compare notes someday.
I am curious: what is you typical trading system like, short
term (days) or long term (months)?
Rick, Van Tharp talks about Expectancy as if it were a stable
parameter which is certainly not the case for short term trading
systems (if my formula is correct). The Expectancy trends vary
very similar to my Equity charts - as expected, so perhaps both
can be used for equal purposes. Van Tharp does not seem to
consider that many systems fade in and out of performance and
that a good trading composite system would dynamically switch
systems (at best people only seem to switch stocks) to take
advantage of high performance periods for the different systems.
Expectation = ( 1 + AveWinTrade/abs(AveLosTrade)) *
PercentWinners - 1;
Best regards,
Herman
-----Original Message-----
From: Rick Parsons [mailto:RickParsons@x...]
Sent: 30 October, 2002 7:43 PM
To: amibroker@xxxxxxxxxxxxxxx
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@x...]
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" <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 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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------=_NextPart_001_0045_01C28175.6D52E0E0
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charset="Windows-1252"
Content-Transfer-Encoding: quoted-printable
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<HTML><HEAD>
<META content=3D"text/html; charset=3Dwindows-1252" http-equiv=3DContent-Ty=
pe>
<META content=3D"MSHTML 5.00.2614.3500" name=3DGENERATOR></HEAD>
<BODY>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN class=3D010323911-01=
112002>Thanks=20
Rick,</SPAN></FONT></DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN=20
class=3D010323911-01112002></SPAN></FONT> </DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN class=3D010323911-01=
112002>Enough=20
time on MM, I stuck it out way too long. I am going back to my other work=20
where I am getting more tangible results.</SPAN></FONT></DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN=20
class=3D010323911-01112002></SPAN></FONT><FONT color=3D#0000ff face=3DArial=
=20
size=3D2><SPAN class=3D010323911-01112002></SPAN></FONT> </DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN class=3D010323911-01=
112002>I am=20
disappointed about all the hoopla about MM (it sounded like the HG of =
MM)=20
that hasn't resulted in any practical and verifiable code whatsoe=
ver.=20
Much of Tharp's book deals with issues that are irrelevant to the true=
=20
mechanical trader, imho he is inconsistent in his method and presentation. =
He=20
blends the most basic stuff with advanced stuff which I find very=20
distracting. Book stuffing? But perhaps I am just not smart enough :-(=
=20
</SPAN></FONT></DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN=20
class=3D010323911-01112002></SPAN></FONT> </DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN class=3D010323911-01=
112002>If=20
anybody ever develops some practical afl code or has a complete an app=
lied=20
case with tangible results, not just words, I would appreciate you sharing=
=20
it.</SPAN></FONT></DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN=20
class=3D010323911-01112002></SPAN></FONT> </DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN class=3D010323911-01=
112002>happy=20
trading,</SPAN></FONT></DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN=20
class=3D010323911-01112002>Herman.</SPAN></FONT></DIV>
<BLOCKQUOTE=20
style=3D"BORDER-LEFT: #0000ff 2px solid; MARGIN-LEFT: 5px; PADDING-LEFT: 5p=
x">
<DIV align=3Dleft class=3DOutlookMessageHeader dir=3Dltr><FONT face=3DTah=
oma=20
size=3D2>-----Original Message-----<BR><B>From:</B> Rick Parsons=20
[mailto:RickParsons@x...]<BR><B>Sent:</B> 31 October, 2002 10:=
49=20
AM<BR><B>To:</B> amibroker@xxxxxxxxxxxxxxx<BR><B>Subject:</B> RE: [amibro=
ker]=20
Re: Dynamic Money Management<BR><BR></DIV></FONT>
<DIV><SPAN class=3D210314715-31102002><FONT color=3D#000080=20
size=3D2>Herman,</FONT></SPAN></DIV>
<DIV><SPAN class=3D210314715-31102002><FONT color=3D#000080 size=3D2>Your=
formula=20
listed at the bottom of the chart may be outdated. Did you see Al's=
post=20
on R multiples and how Expectancy changes as equity=20
changes?</FONT></SPAN></DIV>
<DIV> </DIV>
<DIV><STRONG><FONT color=3D#000080 face=3D"Vladimir Script"=20
size=3D5>Rick</FONT></STRONG></DIV>
<BLOCKQUOTE>
<DIV align=3Dleft class=3DOutlookMessageHeader dir=3Dltr><FONT face=3DT=
ahoma=20
size=3D2>-----Original Message-----<BR><B>From:</B> Herman van den Berg=
en=20
[mailto:psytek@x...]<BR><B>Sent:</B> Thursday, October 31, 2002 1=
:49=20
PM<BR><B>To:</B> amibroker@xxxxxxxxxxxxxxx<BR><B>Subject:</B> RE:=20
[amibroker] Re: Dynamic Money Management<BR><BR></FONT></DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN class=3D49041211=
5-31102002>Hi=20
Rick, glad to see somebody else struggle through this :-) we=20
should compare notes someday.</SPAN></FONT></DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN=20
class=3D490412115-31102002></SPAN></FONT> </DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN class=3D49041211=
5-31102002>I=20
am curious: what is you typical trading system like, short term (days) =
or=20
long term (months)? </SPAN></FONT></DIV>
<DIV> </DIV>
<DIV><FONT color=3D#0000ff><FONT face=3DArial size=3D2><SPAN=20
class=3D490412115-31102002>Rick, Van Tharp talks about Expectancy as if=
it=20
were a stable parameter which is certainly not the case for short =
term=20
trading systems (if my formula is correct). </SPAN></FONT><FONT=20
face=3DArial size=3D2><SPAN class=3D490412115-31102002>The Expectancy t=
rends vary=20
very similar to my Equity charts - as expected, so perhaps both ca=
n be=20
used for equal purposes. Van Tharp does not seem to consider that many=
=20
systems fade in and out of performance and that a good trading composit=
e=20
system would dynamically switch systems (at best people only seem to sw=
itch=20
stocks) to take advantage of high performance periods for the different=
=20
systems.<BR></SPAN></FONT></FONT></DIV>
<DIV><FONT face=3DArial><SPAN class=3D490412115-31102002><FONT size=3D2=
><IMG=20
align=3Dbaseline alt=3D"" border=3D0 hspace=3D0=20
src=3D"cid:010323911@xxxx";><BR><FONT color=3D#009300=20
face=3D"Courier New"></FONT><FONT size=3D1>Expectation =3D ( </FONT></F=
ONT><FONT=20
size=3D1><FONT color=3D#ff00ff face=3D"Courier New">1</FONT><FONT color=
=3D#009300=20
face=3D"Courier New"> + AveWinTrade/</FONT><B><FONT color=3D#0000ff=20
face=3D"Courier New">abs</B></FONT></FONT><FONT size=3D1><FONT color=3D=
#009300=20
face=3D"Courier New">(AveLosTrade)) * PercentWinners - </FONT><FONT=20
color=3D#ff00ff face=3D"Courier New">1</FONT><FONT color=3D#009300=20
face=3D"Courier New">;</FONT></FONT></SPAN></FONT></DIV>
<DIV><FONT face=3DArial><SPAN=20
class=3D490412115-31102002></SPAN></FONT> </DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2>B<SPAN=20
class=3D490412115-31102002>est regards,</SPAN></FONT></DIV>
<DIV><SPAN class=3D490412115-31102002></SPAN><SPAN=20
class=3D490412115-31102002></SPAN><FONT color=3D#0000ff face=3DArial si=
ze=3D2>H<SPAN=20
class=3D490412115-31102002>erman</SPAN></FONT></DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN=20
class=3D490412115-31102002></SPAN><BR></FONT><FONT face=3DTahoma><FONT=
=20
size=3D2><SPAN class=3D490412115-31102002> </SPAN>-----Original=20
Message-----<BR><B>From:</B> Rick Parsons=20
[mailto:RickParsons@x...]<BR><B>Sent:</B> 30 October, 2002 7=
:43=20
PM<BR><B>To:</B> amibroker@xxxxxxxxxxxxxxx<BR><B>Subject:</B> RE:=20
[amibroker] Re: Dynamic Money Management<BR><BR></DIV></FONT>
<BLOCKQUOTE=20
style=3D"BORDER-LEFT: #0000ff 2px solid; MARGIN-LEFT: 5px; PADDING-LEFT=
: 5px"></FONT>
<DIV><SPAN class=3D720543400-31102002><FONT color=3D#000080=20
size=3D2>>><FONT color=3D#000000 size=3D3>long enough to earn y=
our=20
EXPECTANCY returns<<</FONT></FONT></SPAN></DIV>
<DIV><SPAN class=3D720543400-31102002></SPAN> </DIV>
<DIV><SPAN class=3D720543400-31102002><FONT color=3D#000080 size=3D2>=
I am in the=20
middle of Tharp's book, <U>Trade Your Way to Financial=20
Freedom</U>, and just finished the chapter 6 on=20
Expectancy. The idea of expectancy is an excellent way to =
pick=20
the "best" system.</FONT></SPAN></DIV>
<DIV><SPAN class=3D720543400-31102002><FONT color=3D#000080=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D720543400-31102002><FONT color=3D#000080 size=3D2>=
However if=20
one wants to calculate Expectancy the way Tharp does, it appears to b=
e=20
VERY cumbersome when one has to group trades into profit ranges then=
=20
calculate each group separately to get the overall expectancy=20
number. (See pages 149 - 158)</FONT></SPAN></DIV>
<DIV><SPAN class=3D720543400-31102002><FONT color=3D#000080=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D720543400-31102002><FONT color=3D#000080 size=3D2>=
So I would=20
imagine if one wants all the MM and Dynamic Portfolio features, Amibr=
oker=20
should first calculate expectancy on each system to make sure we have=
a=20
positive expectancy system.</FONT></SPAN></DIV>
<DIV><SPAN class=3D720543400-31102002><FONT color=3D#000080=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D720543400-31102002><FONT color=3D#000080=20
size=3D2>Comments?</FONT></SPAN></DIV>
<DIV> </DIV>
<DIV><STRONG><FONT color=3D#000080 face=3D"Vladimir Script"=20
size=3D5>Rick</FONT></STRONG></DIV>
<BLOCKQUOTE>
<DIV align=3Dleft class=3DOutlookMessageHeader dir=3Dltr><FONT face=
=3DTahoma=20
size=3D2>-----Original Message-----<BR><B>From:</B> tchan95014=20
[mailto:tchan95014@x...]<BR><B>Sent:</B> Wednesday, October 30=
,=20
2002 5:02 PM<BR><B>To:</B> amibroker@xxxxxxxxxxxxxxx<BR><B>Subject:=
</B>=20
[amibroker] Re: Dynamic Money Management<BR><BR></FONT></DIV><TT>I=
=20
completely agree with the quoted message. <BR><BR>TR is flexible en=
ough=20
to allow for almost any (risk) ideas you can <BR>think of to do the=
=20
position sizing: newrisk, volatility, margin, <BR>market activities=
,=20
group risk, group heat, portfolio risk / heat... <BR>and yes, the=20
portfolio level position sizing is the best feature. You <BR>can ev=
en=20
combine different systems each with different portfolio. It <BR>is =
a DOS=20
software but it is powerful.<BR><BR>Money management (or rather mor=
e=20
accurately, position sizing or bet <BR>sizing) is an area not very =
often=20
discussed and not often appreciated.<BR><BR>I have posted some time=
ago,=20
you can get some very detailed info from <BR>TradingRecipes.com as =
well=20
as traderclub.com by searching on "Mark <BR>Johnson"<BR><BR>This=20
gentleman was kind enough to post many of the ACTUAL works he <BR>p=
ut in=20
using TR.<BR> 1) He offered right there a very simple l=
ong=20
term trend following <BR>system that works for FREE.<BR>  =
; 2)=20
He tested it using 1-contract with the worst possible fills you <BR=
>can=20
get<BR> 3) He test it using regular 1-contract=20
test<BR> 4) He then tested it using TR with position si=
zing=20
with a <BR>portfolio of more than 10 or 15 futures contracts (You e=
ven=20
get the <BR>TR code for FREE too, it is so easy you can learn by re=
ading=20
it and <BR>understand the logic behind it.)<BR> 5) He t=
ested=20
them over 10 or 20 years of history data.<BR><BR> It is=
an=20
eye opening experience you do not want to miss.<BR><BR>He also list=
ed=20
his own trading results from actually following a <BR>vendor system=
for=20
3 or 4 years, most people would agree it was <BR>excellent=20
results.<BR><BR>Go to both sites mentioned above and read as much a=
s you=20
can. If you <BR>are interested in this subject, I have not found a=
=20
better place for <BR>education. All others only talk (including Tha=
rp,=20
although I have to <BR>admit his book is OK), but you see hard numb=
ers=20
here.<BR><BR>While we are searching for a Holy grail system spendin=
g=20
endless time <BR>there, position sizing might offer a much easier p=
ath=20
because it <BR>optimizes the profit while controls the risk of your=
=20
choice, you know <BR>you can live long enough to earn your EXPECTAN=
CY=20
returns.<BR><BR>Wealth Lab is another software that claimed to have=
this=20
capability <BR>but again is never actually verified to be correct.=
=20
(There was a long <BR>debate, discussion and even tests on the trad=
er=20
club board about this <BR>but was never actually confirmed whether =
it is=20
working correctly.)<BR><BR>TR will cost you > $2000 while Athena=
,=20
last heard, will cost you > <BR>$40000 (that is right!) They wer=
e=20
originated from the same idea and <BR>might even be from the same g=
roup=20
of persons (NOT Tharp though)<BR><BR>I think, AB even with its curr=
ent=20
capability is very close to be able <BR>to do the portfolio level=20
position sizing already. (with this <BR>AddToComposit() for now. Do=
not=20
quote me, it just came out of my <BR>head.) I think Tomasz can do i=
t in=20
a very short time, the only issue <BR>is to test it. It takes time =
to=20
provide all the flexibility and iron <BR>out all the bugs, it is a =
big=20
challenge.<BR><BR>With current AB structure,I think it has paved wa=
ys=20
for much more <BR>flexibility than TR can ever provide. Monte Carlo=
,=20
2/3D surface chart <BR>built in, any taker? ;-)<BR><BR>Bob from TR =
has=20
promised a window version for years, but nothing has <BR>come out=20
yet.<BR><BR><BR>Thomas<BR><BR><BR><BR>--- In amibroker@xxxx, "Al Ve=
nosa"=20
<avcinci@xxxx> wrote:<BR>> Tomasz:<BR>> <BR>> Yester=
day,=20
I posted a message on Van Tharp's forum about your plans <BR>> t=
o=20
incorporate innovative money management and pyramiding <BR>techniqu=
es=20
<BR>> in a future version of AB. Below is a response from a user=
of=20
<BR>Trading <BR>> Recipes, who claims that TR is the only softwa=
re=20
that handles MM <BR>> corrrectly. Here is what he said:<BR>>=
=20
<BR>> "It DOES position sizing. the RIGHT way. I own the program=
and=20
it <BR>is <BR>> GREAT. It took me about 5 minutes to get over th=
e=20
fact that it is <BR>> still a DOS based app. But it's really the=
ONLY=20
tool that does it <BR>the <BR>> correct way.<BR>> <BR>> I=
=20
talked to AmiBroker about 6 months ago, and they told me the same=20
<BR>> thing. Plus once they do release the program with position=
=20
sizing, <BR>it <BR>> still has to be proven that they have done =
it=20
right. <BR>> <BR>> There are three other companies that I kno=
w=20
have that have tried to <BR>> do position sizing. Two of them go=
t it=20
wrong. www.rinasystems.com <BR>and <BR>> www.bhld.com<BR>>=20
<BR>> The third is the athena program that is mentioned in Van's=
=20
book. I <BR>> haven't ever had the privilege of playing with tha=
t=20
program, but I <BR>> believe I read somewhere that it used outpu=
t=20
files from trade <BR>> station. So, it would also fall into the=
=20
category of a program that <BR>> isn't truely implementing posit=
ion=20
sizing at the portfolio level <BR>like <BR>> Trading Recipes=20
does."<BR>> <BR>> To explain what he meant by doing it 'the r=
ight=20
way', here is what <BR>he <BR>> said: <BR>> <BR>> "TRADING=
=20
RECIPES' approach lets you combine trading signals and <BR>trade=20
<BR>> sizing strategies into simulations which exactly mimic the=
way=20
you <BR>> would trade in real time. A core feature, which sets i=
t=20
apart from <BR>> all other "money management" (or backtesting)=20
software, is its <BR>> ability to perform dynamic money manageme=
nt=20
(DMM) and risk control <BR>at <BR>> the portfolio level. With DM=
M,=20
position sizes are determined with <BR>> full knowledge of what'=
s=20
going on at the portfolio level at the <BR>> moment the sizing=20
decision is made. Just like you do in reality. <BR>> Other softw=
are=20
packages simply sum individual pre-calculated equity <BR>> curve=
s.=20
This way, position sizes are calculated with no knowledge <BR>of=20
<BR>> what the current portfolio conditions are at the crucial m=
oment=20
<BR>when <BR>> a position sizing decision is to be made. This is=
not=20
how you would <BR>> make decisions in reality and therefore such=
=20
simulations offer no <BR>> useful information to the trader. DMM=
=20
avoids this pitfall."<BR>> <BR>> TJ, will your approach be ab=
le to=20
do DMM as described above? <BR>> Personally, I have no desire to=
use=20
any program based on DOS. I <BR>think <BR>> the position sizing=
=20
algorithm now included in AB does almost what <BR>> this guy=20
describes except for scaling in and out of trades and <BR>basing=20
<BR>> one's decisions on the value of the entire portfolio of=20
multiple <BR>> stocks rather than a portfolio of one stock. <BR>=
>=20
<BR>> Al V.<BR><BR></TT><BR><BR><TT>Post AmiQuote-related messag=
es=20
ONLY to: amiquote@xxxxxxxxxxxxxxx <BR>(Web page: <A=20
href=3D"http://groups.yahoo.com/group/amiquote/messages/)">http://g=
roups.yahoo.com/group/amiquote/messages/)</A><BR><BR>Check=20
group FAQ at: <A=20
href=3D"http://groups.yahoo.com/group/amibroker/files/groupfaq.html=
">http://groups.yahoo.com/group/amibroker/files/groupfaq.html</A></TT>=20
<BR><BR><TT>Your use of Yahoo! Groups is subject to the <A=20
href=3D"http://docs.yahoo.com/info/terms/";>Yahoo! Terms of=20
Service</A>.</TT> <BR></BLOCKQUOTE><BR><BR><TT>Post AmiQuote-relate=
d=20
messages ONLY to: amiquote@xxxxxxxxxxxxxxx <BR>(Web page: <A=20
href=3D"http://groups.yahoo.com/group/amiquote/messages/)">http://gro=
ups.yahoo.com/group/amiquote/messages/)</A><BR><BR>Check=20
group FAQ at: <A=20
href=3D"http://groups.yahoo.com/group/amibroker/files/groupfaq.html";>=
http://groups.yahoo.com/group/amibroker/files/groupfaq.html</A></TT>=20
<BR><BR><TT>Your use of Yahoo! Groups is subject to the <A=20
href=3D"http://docs.yahoo.com/info/terms/";>Yahoo! Terms of Service</A=
>.</TT>=20
<BR></BLOCKQUOTE><BR><BR><TT>Post AmiQuote-related messages ONLY to:=
=20
amiquote@xxxxxxxxxxxxxxx <BR>(Web page: <A=20
href=3D"http://groups.yahoo.com/group/amiquote/messages/)">http://group=
s.yahoo.com/group/amiquote/messages/)</A><BR><BR>Check=20
group FAQ at: <A=20
href=3D"http://groups.yahoo.com/group/amibroker/files/groupfaq.html";>ht=
tp://groups.yahoo.com/group/amibroker/files/groupfaq.html</A></TT>=20
<BR><BR><TT>Your use of Yahoo! Groups is subject to the <A=20
href=3D"http://docs.yahoo.com/info/terms/";>Yahoo! Terms of Service</A>.=
</TT>=20
<BR></BLOCKQUOTE><BR><BR><TT>Post=20
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx <BR>(Web page=
: <A=20
href=3D"http://groups.yahoo.com/group/amiquote/messages/)">http://groups.=
yahoo.com/group/amiquote/messages/)</A><BR><BR>Check=20
group FAQ at: <A=20
href=3D"http://groups.yahoo.com/group/amibroker/files/groupfaq.html";>http=
://groups.yahoo.com/group/amibroker/files/groupfaq.html</A></TT>=20
<BR><BR><TT>Your use of Yahoo! Groups is subject to the <A=20
href=3D"http://docs.yahoo.com/info/terms/";>Yahoo! Terms of Service</A>.</=
TT>=20
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