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Hi Leo!
Let me elaborate. Although I wouldn't put $.02 on a *simple*
Martingale or anti-Martingale method of money management, I do think
that the latter is certainly viable while the former is not. How to do
better? I'd recommend reading The Trading Game by Ryan Jones *and
then running simulations* of the tradeoff between equity growth and
drawdown for the various methods *for your trading systems*. I
developed my personal favorites after reading this book but everyone
needs to look at their own curves from their own simulations for
themselves to see what suits them best. This is a tedious project and
not much fun, but well worth the effort in my opinion. BTW, if you
look at the reviews of this book on amazon, there are some *incredibly
ignorant* ones by people who obviously didn't take the time to dig in
to the material and do their homework which to me, is running
simulations on all of the methods. I have and trust me, lol, there's
good stuff in this book.
Best Regards,
Mark
--- In amibroker@xxxxxxxxxxxxxxx, "leonardot19" <leo.timmermans@xxxx>
wrote:
> 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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