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Hello Mark,Thanks for trying to helpme. I am
just being practical. I am not saying that MM doesn't work for certain trading
methodologies I just said I that I am making zero progress trying to apply
it to my type of systems and that there is no indication that I would make
progress any time soon even if I spend a lot more time on it. I do not have
resources like some of the large investment companies who have managedto
apply Tharp's MM successfully; my time and resources are limited.If
nobody out of a 1000 AB users can crank out some basic MM code
that works than certainly I will not be able to do it either. When you havesome
working MM code I'd love to hear from you. :-) My
decision is to wait for others to come forward with more concrete material
or for Tomasz to implement MM in AB.
MM might well be another type of unattainable HG for
many.
Best regards,
Herman.>
-----Original Message-----> From: MarkF2 [<A
href="">mailto:feierstein@xxxx]>
Sent: 01 November, 2002 12:56 PM> To: amibroker@xxxxxxxxxxxxxxx>
Subject: [amibroker] Re: Dynamic Money Management>>> Hi
Herman- Not trying to start an argument, but feel compelled to> comment
because you could not be more wrong. MM is incredibly> important
and DOES give rock-solid, tangible results. Also, much of> Tharp's
book is NOT irrelevant to mechanical traders. It's clear to> me
that you just don't understand it. I remember you wrote something>
similar about a technique in an article by William Eckhardt, one of>the
greatest traders of all time, because you hadn't taken the time to> grasp
his concept, either. >> I offer this as constructive
criticism and urge you and anyone else> who has given up on MM to goback
and study it until you do get it.> It's not fun and it's certainly not as
sexy as developing new> indicators. But, IMHO, it's the boring
stuff and the details most> people overlook that will make you money
trading. Unfortunately, that> takes a lot of time and effort.
Thomas Edison once said: "Opportunity> is missed by most people because
it is dressed in overalls and looks> like work." Think about
it.>> Best Regards,>> Mark>>>
--- In amibroker@xxxx, "Herman van den Bergen" <psytek@xxxx>
wrote:> > Thanks Rick,> >> > 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 amjust
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 appreciateyou
sharing it.> >> > happy trading,> >
Herman.> > -----Original Message----->
> From: Rick Parsons [<A
href="">mailto:RickParsons@xxxx...]>
> Sent: 31 October, 2002 10:49 AM> > To:
amibroker@xxxx> > 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@xxxx...]>
> Sent: Thursday, October 31, 2002 1:49 PM>
> To: amibroker@xxxx>
> 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 [<A
href="">mailto:RickParsons@xxxx...]>
> Sent: 30 October, 2002 7:43 PM>
> To: amibroker@xxxx>
> 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 topick
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 calculateeach
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@xxxx> >
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 notvery
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 than10
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 or4
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 searchingfor
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 andeven
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 thesame
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 basedapp.
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 strategiesinto
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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