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Dingo,
Yes it is an estimate but (imho) one is still skewed and the other is
not and the effect this has in the optimization process is to lead
one away from what I perceive to be the best parameters.
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> 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
>
>
>
> -----Original Message-----
> From: Stephen Almond (F) [mailto:steve@x...]
> Sent: Saturday, April 12, 2003 12:21 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Re: Trailing Stops
>
>
>
> 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
>
> ----- Original Message -----
>
> From: Fred <mailto:ftonetti@x...> Tonetti
>
> To: 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.
>
> Fred
>
>
>
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