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



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Well you didn't do it correctly.  What simulation software did you use?

--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> 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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