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Thank you mark, yes I remember an offer, and it was appreciated. Perhaps
someday... For many on this list AB is the main tool hence, if MM requires
other tools to implement as well as a significant amount of time, it is
unlikely many will succeed. Perhaps MM is a bit premature for many of us.
Don't misunderstand me, I take MM very serious, just like I do many other
topics in which I don't make significant progress and I put aside. In simple
terms my plan/priorities go somewhat like this:
1) Develop 100% mechanical trading systems
2) Develop system performance indicators
3) Prove I can enter and exit the markets at the right times for each system
4) Implement a system/stock rotation system
5) MM?
6) Test my system with small (I am not proud: I have tested systems by
buying ten shares!)
7) Increase my stakes very slowly as I make money
8) use AT or broker management.
9) 2nd retirement :-)
That is what dreams are made of, it is a slow process.
Best regards,
Herman.
> -----Original Message-----
> From: MarkF2 [mailto:feierstein@x...]
> Sent: 01 November, 2002 6:44 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Dynamic Money Management
>
>
> Hi Herman- I don't have any AB MM code and never will. I use AB for
> system development and testing and MCS software for MM. Don't think
> TR or AB will ever put what I need into their programs. It's not that
> hard, really. I offered to lead a thread on it (as long as the
> participants do most of the work, I'll keep it on track and make sure
> the relevant points are made) but no one took me up on it. I think
> Edison's quote applies.
>
> Best Regards,
>
> Mark
>
> --- In amibroker@xxxx, "Herman van den Bergen" <psytek@xxxx> wrote:
> > Hello Mark,
> >
> > Thanks for trying to help me. 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 managed to 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 have some 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 [mailto:feierstein@x...]
> > > Sent: 01 November, 2002 12:56 PM
> > > To: amibroker@xxxx
> > > 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 go back 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 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@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@x...]
> > > > 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 [mailto:RickParsons@x...]
> > > > 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 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@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 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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