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AV,
Minis are electric. If your a "first person
shooter" type of trader, pushing buttons is a little easier and quicker than
moving the order through the pits. Are clearing costs still part of the
equation? I don't think they come into play unless you are paying old
school commissions.
Take care,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=advenosa@xxxxxxxxxxxx
href="">advenosa@xxxxxxxxxxxx
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, October 30, 2003 2:52
PM
Subject: RE: [amibroker] He done blew
up...real good
Steve:Forgive me for changing the subject in this
very fascinating debate, butyou mentioned someone trading hundreds of
E-minis. My question is, since 1E-mini is equivalent to 5 S&Ps, why
doesn't he just trade S&Ps and reducehis transaction costs 5-fold?
AVOriginal Message:-----------------From:
CedarCreekTrading <A
href="">kernish@xxxxxxxxxxxDate: Thu, 30 Oct
2003 12:58:51 -0700To: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
"He done blew up...real good"Mark,I looked through my
emails for the last year and came up with the followingmessage.
After reading his book, I asked for opinions from my researchassociates
and here's a response from a large money manager (who reallytrades
hundreds of minis at a whack):"I read "The Trading Game" last weekend,
and I was NOT impressed. First off, I find it remarkable that
people can get so much attention for the radical concept of position
sizing. I mean, are there that many people out there who don't
understand that you'll make more profits (assuming a positive expectation)
if you trade multiple contracts!? Jones talks like scaling your size
up is a huge revelation. But ignoring that, I
think his Fixed Ratio approach is bogus. IMO his entire premise is
flawed: he looks at the per-contract profit it takes to move from 1
to 2 contracts, and he says that it should take the same per-contract
profit to move from X to X+1 contracts. I.e. if you need $10k profit
to move from 1 to 2 contracts, you should need $10k profit **per
contract** to move from 100 to 101. You'd need $1M total profit to
increase by 1 contract. I think this is flawed for 2
reasons: first, it relies much too heavily on the size of the
contract. The entire leverage structure he computes would be totally
different for, say, $250 SP's vs. $500 SP's. But the big flaw is his
use of additive growth instead of percentage growth. Moving from 1
contract to 2 isn't equivalent to moving from 100 to 101; it's like moving
from 100 to 200! I think simple fixed-fractional approaches handle
the position sizing much more logically. What
really honks me off, though, is the way he cooks the books to make his
approach look good. Fundamentally what he's doing is using very high
leverage when the account is small, and backing off as the account gets
big. This has the advantage that it gets the small account off the
ground & running quickly. But it also exposes you to a lot more
risk early on. He uses all kinds of examples to show how the FR
approach can take a $X per contract loss with a much lower drawdown than
FF -- but he constructs his examples so that drawdown happens AFTER he's
scaled back the leverage. He conveniently neglects to mention that
the FR approach would BANKRUPT you if that same per-contract loss happened
early on with higher leverage. Add to that a host of
logical and math errors, and I was SERIOUSLY
underwhelmed. My advice would be to use a basic
Fixed Fractional approach. Decide what leverage works for you,
taking into account your risk tolerance, the Optimal F of your system
(make sure you trade far UNDER the "optimal" F value), etc, and just risk
a constant percentage on each trade. As your account grows, you may
decide to back off on the leverage a bit. You can do all that
without the Fixed Ratio complexities." "Extensively
tested"? Isn't that what Ryan did with his own account whenhe blew
it up? Oh, maybe he sell books on fixed ratio and then goes outand
trades with a different style. Either way, with or without FR, he
did"blow up". And as John Candy used to say on SCTV: "Wow, he
blew up realgood."Take care,Steve -----
Original Message ----- From: MarkF2 To:
amibroker@xxxxxxxxxxxxxxx Sent: Thursday, October 30, 2003 11:57
AM Subject: [amibroker] Re: Managing drawdowns (was %
channels) 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: > > > >
> > > > <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 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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