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MarkF2,
I'm also very interested in MM (I will read Tharp's book but its currently
on backorder here) and
would like to participate with the thread about MM. How do you see it. Can
you give some examples
of how, what you simulate ?
Kind regards
Leo
----- Original Message -----
From: "MarkF2" <feierstein@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, November 02, 2002 12:44 AM
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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