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



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Trading Reference Links

Yes I have which is why I said I must be one of the ignorant ones.

--- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> wrote:
> Have you read and tested the stuff in his book, or are you just 
making
> a typically provocative comment?
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > 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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