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Thanks Al,
I'm just getting my arms around all this money and position management stuff, and as I do I'll be able to speak more intelligently on it. FWIW, I'm finding systems that trade with a profit-factor of 2.0 and up to be more in my comfort-zone which makes all of the position and portfolio-management decisions much easier on the mind and the stomache.
Hope to circle back to this subject soon, and as always thanks for your frequent contributions to the board.
Kind Regards,
Gary
Al Venosa <advenosa@xxxxxxxxxxxx> wrote:
Gary:
Like you, I have tested the Turtles breakout entries and exits on equities, and also like you found them to be less than satisfactory in regards to profitability and robustness. I think, from what all I've read, that this type of breakout works much better with futures than equities, probably because futures trend better than stocks. However, this is not to detract from the Turtles' money management rules. Their MM system is what made them lots of money and fame, not their entry/exit rules. So, whatever trading system you use, I think use of such a risk management approach is sound. There are lots and lots of other ideas floating around that differ from the Turtles pyramiding scheme. One espoused by Tharp starts out with risking the usual 1% of current equity, then, after you have made x% profits (you set x to be whatever you want), you then start risking the market's money. What does this mean? Well, suppose your initial equity were $100,000, and your risk is 1% ($1000).
Suppose your equity has grown to, say $115,000. You can now begin to get more aggressive without risking more than your own 1%. You do this by assuming the extra $15 K is not yours but rather the market's. So, on your next trade, you still risk 1% of current equity or $1150, but in addition, you risk, say, 5% of the $15,000 market's money ($750). Thus, on the next trade, you risk $1,900, thereby winding up buying (or shorting) 90% more stock without risking any more than your original 1%. You keep doing this until such time that you want to 'convert' the market's money to your own again. You might want this to occur at $150,000 equity, maybe at a lower level. This is up to you. At that time, you revert back to risking just 1% or $1500 now, since there is no market money because you are now calling it your own. You start all over again, risking only 1%, becoming more aggressive again as you add more market money to your equity, until the next equity conversion level
($200,000). See how it works? There are lots of other ideas that can be used. This was just one.
My 2 cents. How about yours? :-))
AV
----- Original Message -----
From: Gary A. Serkhoshian
To: amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, September 24, 2003 7:08 PM
Subject: [amibroker] Turtles money mgt and position trading rules -- OPINIONS?
Hi all,
Curious to read if any of you have played with the money management or position sizing rules the Turtles used as listed at http://www.originalturtles.org/system.htm
I've found the entries not to work well with equities, but the money management and position sizing rules echo the points Al Venosa has made about risk-oriented position sizing.
Gimme your two cents, and I'll gladly take it...
Regards,
Gary
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