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[amibroker] Re: Managing drawdowns (was % channels)



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Ryan Jones ? OMG ... I must be one of the ignorant ones.

--- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> wrote:
> 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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