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Hi Mark,
Which MM technique would you use than, can you give an example
please ?
Kind regards
Leo
--- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> wrote:
> Neither of these is a technique I'd put $.02 on, quite easily
> demonstrated by bootstrapping representative trades while applying
> them. Every time I mention simulation everyones' eyes glaze over,
but
> if you're not using it for position sizing or money management or
> whatever you want to call it, you're flying blind.
>
> --- 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 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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