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I have spoken with a guy at a casino once who used this threory for betting
on the roulette wheel
He would double up after each loss. Works fine if you have enough chips in
your pocket for when you have a losing streak. The $10 I allowed myself for
the night wouldn't let me try this.
Cheers,
Graham
http://groups.msn.com/ASXShareTrading
http://groups.msn.com/FMSAustralia
-----Original Message-----
From: palsanand [mailto:palsanand@xxxxxxxxx]
Sent: Wednesday, 29 October 2003 4:23 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Managing drawdowns (was % channels)
On second thoughts, if I had used the right parameters for the
filters, I would not have entered early and would never have had to
use the Martingale system, though there are rare instances (signals)
where it is useful. A drawdown of more than 20% is too much for me
to bear.
Regards,
Pal
--- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx> wrote:
> Dave,
>
> There is a good link I came across:
>
> http://www.arbtrading.com/moneymanagement.htm
>
> I like the Anti-Martingale and Martingale (doubling up) systems to
> manage drawdowns. I would use a combination of these systems, so
> that when I'm losing money I would use Martingale system and when
I'm
> finally making money with the final position, I would be
> automatically switched over to Anti-Martingale system, but may most
> likely exit losing positions at break-even price. I would double
up
> only when I get stronger signals verfied by OB/OS conditions in the
> subsequent session, so that my system of using 3BSMA stops for the
next session is temporarily suspended. It does take usually about 3
days for a trend-change to fully develop. I would not double up
beyond 3 consecutive days, because if you are wrong 4 times in a
row, most likely the market is starting a new trend in the opposite
direction and will go against you and so better to exit. I have done
this many times, as I find it impossible to optimize my entry
points. But the safest course is to wait for the actual Trend-change
signal verified by OB/OS conditions, then you may never have to
double up but you may miss some signals. This may sound crazy for
some but it does seem to work for me especially with the AFL pivot
points to predict the Next bar approximate High/Low of Day and
appropriate position sizing.
>
> Regarding whether your system has stopped working or not, it is
hard
> to say. I would try to improve the system performance using a
system
> of filters, stops and walkforward testing. Easier said than done...
>
> Regards,
>
> Pal
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> wrote:
> > I've been wondering, could I trade a system with 50% average gain
> per year
> > since '95, and max system drawdown of 40-50%. even if I've seen
> that in
> > backtests beforehand, could I really look at that kind of drop in
> my account
> > and still believe I was doing the right thing? or would I think
> it'd finally
> > just stopped working? and if I am able to ignore that much
> drawdown, how
> > would I know if it really *had* stopped working?
> >
> > by the half-the-gain-twice-the-drawdown tolerability rule, this
is a
> > non-starter.
> >
> > dave
> > Defense ... Yep or as I've said it's not what you make, it's
what
> you
> > keep. DD's are killers from lots of aspects not just in terms
of
> > what they do to your account balance but also what they do to
ones
> > ability psycologically to trade and stay with systems that do
> work.
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