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Fred, two things:
1. If I had a system returning 90%+
per year with 4% drawdown, I would concentrate on compounding also. For me,
struggling to get any proper system to show positive gains (with conservative
commissions, trade at open+1, etc.) it seems important to work on the
pessimistic side of things.
2. I wish some others would join in
here. Your views are clear, mine are confused - what do the rest
think?
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Fred
Tonetti
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, April 12, 2003 4:07
PM
Subject: [amibroker] Re: Trailing
Stops
Steve,
Do they mean a lot ?
I guess the simple answer is ... yes to me they
do.
With regards to having single large gains in
systems skewing the results, in the fully compounding model this is easily
seen in the graph and statistics if it occurs. Likewise large DD's are
also seen visually and statistically, where as in the other fixed dollar
position size models both are well hidden and the farther to the right they
occur the more hidden they are visually and statistically.
I guess the part I really don't understand
about designing systems to use fixed dollar position sizes and how they relate
to real trading is that as time goes along and equity hopefully increases by
their nature one is by definition on a percentage basis less and less invested
when one does invest/trade. This raises the question of what does one do
with the rest of the capital ? Leave it in money market ? My own
personal perspective on investing/trading is that when I want to be invested,
I want to be invested. This however doesn't preclude one from limiting
the overall percentage invested on some trade or set of trades to more or less
then 100% should the circumstances warrant that action nor does it
preclude one from having several systems that one uses to trade different
vehicles each with some PERCENTAGE of overall dollars.
FredSend
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