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Mark,
Some of the best traders I know (running 10-plus
million) hate this book. They all seem to find logic flaws in some of the
chapters (I read it twice and have little or no opinion). Are you familiar
with Ryan's disastrous trading record? Ryan has spread some bad "juju" in
Colorado. For my money, Van Tharp lays it out a bit better than
Ryan.
Take care,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
MarkF2
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, October 30, 2003 10:43
AM
Subject: [amibroker] Re: Managing
drawdowns (was % channels)
Hi Leo!Let me elaborate. Although I wouldn't
put $.02 on a *simple*Martingale or anti-Martingale method of money
management, I do thinkthat the latter is certainly viable while the former
is not. How to dobetter? I'd recommend reading The Trading Game by
Ryan Jones *andthen running simulations* of the tradeoff between equity
growth anddrawdown for the various methods *for your trading
systems*. Ideveloped my personal favorites after reading this book
but everyoneneeds to look at their own curves from their own simulations
forthemselves to see what suits them best. This is a tedious project
andnot much fun, but well worth the effort in my opinion. BTW, if
youlook at the reviews of this book on amazon, there are some
*incrediblyignorant* ones by people who obviously didn't take the time to
dig into the material and do their homework which to me, is
runningsimulations on all of the methods. I have and trust me, lol,
there'sgood 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 glazeover, > 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:> > > > > > <A
href="">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 andwhen> > 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 woulddouble> > up > > >
only when I get stronger signals verfied by OB/OS conditions in > the
> > > subsequent session, so that my system of using 3BSMA for
thenext > > > session is temporarily suspended. It does
take usually about 3> > days > > > for a trend-change
to fully develop. I would not double upbeyond> > 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 butyou> > may
> > > miss some signals. This may sound crazy for some but
it doesseem> > 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'veseen > > > that in> > > > backtests
beforehand, could I really look at that kind ofdrop > in >
> > my account> > > > and still believe I was doing the
right thing? or would Ithink > > > 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 interms> > of> > >
> what they do to your account balance but also what they
doto> > ones> > > > ability
psycologically to trade and stay with systems thatdo > > >
work.Send
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