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Steve,
See my post to Fred. I've *extensively* tested this stuff. I like
Van Tharp's material and that's what got me "turned on" to money
management and position sizing in the first place. But I've got to
tell you that my home brewed variation of Ryan's fixed ratio method
works better on my systems from a risk/reward standpoint than what
I've learned from Van Tharp. The criticisms I've seen of Jones' book
have all been anecdotal. I'd love to see a *quantitative* analysis to
back up one of these opinions. There's nothing subjective about this.
Regards,
Mark
--- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" <kernish@xxxx>
wrote:
> 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
> ----- Original Message -----
> From: MarkF2
> To: 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
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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