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



PureBytes Links

Trading Reference Links

For those who have an interest in a variety of MM techniques here's a 
short course in a lot of what's out there ...

http://www.tsresearchgroup.com/en/articles/public_20020402010706.php 

--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> Nice try ... As far as what trading system he used and whether or 
not 
> it was viable, how would I know.  As far as what MM techniques he 
> used, again how would I know except for the fact that it seems to 
say 
> one of two things, either his stuff doesn't work as demonstrated in 
> his book or he didn't think well enough of it to use it as opposed 
to 
> using something else.  As far as your other reference goes, your 
> either part of that group in which case you should have understood 
> the reply I made and it should have made some sense or you aren't 
in 
> which case you don't have a clue as to what you are referring to.
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> wrote:
> > "LOL, right ..."?  What simulation software did you use?  No 
> answer? 
> > I didn't think I'd get one.  You don't know what you're talking 
> about
> > unless you've run extensive MCS on these methods with numerous 
> systems
> > and compared them side by side.  I've tested Van Tharp's stuff and
> > would agree that it works.  But there's stuff in Jones' book that
> > produces better risk/reward curves.  BTW, what he did with his own
> > account (assuming what you say is true) is irrelevant.  How do you
> > *know* that he did it "using his own methods?"  Did he have a 
viable
> > trading system to begin with? Did he follow it?  If so, which 
money
> > management method from his book did he use and did he follow 
that? 
> > Your humble opinion, lol?  This from the guy who banned Tomasz 
from
> > his group, lol!  Look Fred, if you've got nothing better to do 
than
> > sit there and try to start a flame war, please do it with someone
> > else.  Because you simply don't know what you're talking about on
> > this.  Have a great day.
> > 
> > 
> > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > > LOL, right ...
> > > 
> > > IMHO Van K. Tharp's writings on this topic are more on target.
> > > 
> > > And in all honesty I'm not surprised that Jones traded his own
> > account
> > > (s) into 90+% DD's using his own mehtods.
> > > 
> > > 
> > > --- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> 
> wrote:
> > > > 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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