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I see it from both points of view and
(imho) if you understand the differences and keep them in mind then whatever
way you want to view it should be ok. Unless you’re trading mutual
funds where you don’t’ worry about slippage and trailing stops,
etc. then isn’t it an estimate anyway?
d
<span
>-----Original Message-----
From: Stephen Almond (F)
[mailto:steve@xxxxxxxxxxxxxxxxxxxxxx]
Sent: Saturday, April 12, 2003
12:21 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re:
Trailing Stops
<span
>
<font size=2 color=black
face=Arial>Fred,
two things:
<span
>
<font size=2 color=black
face=Arial>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.
<font size=2 color=black
face=Arial>2. I
wish some others would join in here. Your views are clear, mine are confused -
what do the rest think?
<span
>
<font size=2 color=black
face=Arial>Steve
<span
>----- Original Message -----
<font size=2
face=Arial>From:<font
size=2 face=Arial> <a
href="" title="ftonetti@xxxxxxxxxxxxx">Fred
Tonetti
<span
>To:<font
size=2 face=Arial> <a
href="" title="amibroker@xxxxxxxxxxxxxxx">amibroker@xxxxxxxxxxxxxxx
<span
>Sent:<font
size=2 face=Arial> Saturday,
April 12, 2003 4:07 PM
<span
>Subject:<font
size=2 face=Arial> [amibroker]
Re: Trailing Stops
<span
>
<span
>Steve,
<span
>Do they mean a lot ?
<span
>I guess the simple answer is ... yes to me they do.
<span
>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.
<span
>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.
<span
>Fred
<span
>
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<span
>
<font size=2
face="Courier New">Send BUG REPORTS to
bugs@xxxxxxxxxxxxx<span
>
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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