|
PureBytes Links
Trading Reference Links
|
But if they're that rare, why trade them at all? Or why not simply cut your
loss on the trade, take your small loss, and get back in when the signal is
given again. Why pour good money after bad (unless you are implying that the
signal is sooooo good that historically it always gives a win, which is hard to
believe)? One conundrum in your message was that it has no drawdowns. I can't
imagine any system without DDs. So, I guess I'm not following your logic. Sorry.
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
palsanand
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, October 30, 2003 8:10
PM
Subject: [amibroker] Re: Managing
drawdowns (was % channels)
I'm glad you asked. I have been using my system for
almost 5 years now and the original version has been in existence for
almost 40 years. The system has 9 basic types of signals. Of
these 2 of them are day-trading signals (short-term trend following
systems), but sometimes these short-term signals becomes a good long term
one. The problem with these short-term signlals (remember I said
there is only 2 out of a total of 9), is the timing. Ideally, the
best entry point is the MOO (previous day's close price), but sometimes it
has drawdowns. Becuase the signal is valid and I do not want to miss
them in case it takes off right after open near previous sessions
close price and has no drawdowns, in such cases, either I can exit my
initial entry and re-enter at a better price as predicted by the AFL
pivot points support/resistance or retain it and re-enter at the
predicted support/resistance and later exit the losing position at
break-even trade. I called it rare, because even though these types
(short-term) signals are numerous (occurs almost every day) when I
apply the filters and verify them, they get invalidated and hence
becomes rare in practice. So, I came to the conclusion that the
Martingale systems are ideal for day-trading where the usual rule "Cut
your losses short and let your profits run" does not apply and in fact
day-trading or short-term trading forces you to do just the opposite,
i.e., "cut your profits short and let your losses run until you can
re-coup it later by doubling up" the core of the Martingale
system...rgds, Pal--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa"
<advenosa@xxxx> wrote:> Yes, I did notice it. But it was still in
the same paragraph where it appeared as though you were endorsing
martingale betting. I guess I don't understand what circumstances would
warrant its 'rare' use. What do you mean by "...when the nature of the
signal warrants it"? In my opinion, one should choose a certain MM
approach and stick to it. > > AV> > -----
Original Message ----- > From: palsanand
> To: amibroker@xxxxxxxxxxxxxxx > Sent:
Thursday, October 30, 2003 7:25 PM> Subject: [amibroker]
Re: Managing drawdowns (was % channels)> > >
I agree, that is why I said I use martingale method only very
> rarely, i.e, only when the nature of the signal warrants
it.... > Maybe you did not notice it or understand
the significance of it...> > rgds, Pal>
> --- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa"
<advenosa@xxxx> wrote:> >
Pal:> > > > Martingale betting
will kill you regardless of your W/L ratio. You >
mentioned trend-following systems. Such systems notoriously have a
> winning percentage less than 50%, usually around 40-45%.
So, when you > have a moderately large losing
percentage (55 to 60% or more), the > probability of
your experiencing 5 or 6 or 7 losses in a row is >
moderately high (0.6^6 = 4.7%). It makes absolutely no difference
> what your W/L ratio is. It could be 10:1. But if you
double your bet > size every time you lose, you lose
big time if you don't get that one > big 10x win
inbetween. Conversely, it makes eminent sense to increase
> your bet size as you win. After all, you can look at it
as betting > the market's money rather than your own.
If you continue to keep your > risk percentage constant
but increase the percentage of profits you > risk on
each trade, your winnings will compound enormously. In other
> words, risk 1% of your capital on all bets but if your
profits > increase by, say, 10%, risk 5% of the profits
plus your normal 1% of > current capital. You'll make
big money without increasing your real > risk. And if
you lose, you LOWER your bet size, not raise it. That >
way, you stay in the game in case you experience a run of losses.
> > > > Al
Venosa> > ----- Original Message -----
> > From: palsanand >
> To: amibroker@xxxxxxxxxxxxxxx >
> Sent: Thursday, October 30, 2003 6:35 PM>
> Subject: [amibroker] Re: Managing drawdowns (was %
channels)> > > >
> > Thanks for link. Something
interesting mentioned there:> > >
> All the multitude of money management algorithms may be
divided > in > > two
principal classes: martingale and antimartingale. > >
> > Martingale methods state that the risk
should increase as the > capital >
> decreases. These methods are popular with traders trying to
> extract > > profit from
a series of losses or break-even trades.> >
> > Let us review an application of
martingale in roulette. We bet 1$ > on
> > a color and every time we lose, we
double the bet. Next time > after we >
> win, we start at 1$ again. If we lose 10 times in a row,
which > may > >
happen with a probability of (19/37)^10 or 0,13%, we'll have to
> bet > > $1024 to win
$1. Since in such a case the expected profit/risk >
ratio > > is disastrously low, it is often
supposed that martingale methods > may
> > not be used in trading. But, one should
keep in mind that in > popular >
> trend-following methods:> >
> > 1) profits are usually 2-3 times larger
than losses > > > > 2)
series of small losses or break-even trades are typically >
> interspersed with large profits> >
> > So martingale methods in our opinion
deserve a serious study.> > >
> I found this to be very true. Typically my trades have
either a > > series of small losses or
more commonly break-even trades > >
interspersed with hugh gains which dwarfs these series of small
> > losses or break-even trades, but I use
martingale method only > very >
> rarely, i.e, only when the nature of the signal warrants
it....> > > >
rgds, Pal> > --- In
amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx>
wrote:> > > 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 ...>
> > > > >
> > > <A
href="">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:> > > > > > > >
> > > > > > > > > >
> > > > > > > > > > > <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.> >
> > >
> Yahoo! Groups Sponsor
>
>
ADVERTISEMENT>
>
> >
> >
> > > > >
> Send BUG REPORTS to bugs@xxxx>
> Send SUGGESTIONS to suggest@xxxx>
> ----------------------------------------->
> Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx > > (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
>
-------------------------------------------->
> Check group FAQ at: > <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > > Your use of
Yahoo! Groups is subject to the Yahoo! Terms of > Service.
> > > > >
> ---> > Outgoing mail is
certified Virus Free.> > Checked by AVG
anti-virus system (<A
href="">http://www.grisoft.com).>
> Version: 6.0.525 / Virus Database: 322 - Release Date:
10/9/2003> >
> Yahoo! Groups Sponsor
>
> > >
> Send BUG REPORTS to bugs@xxxx> Send
SUGGESTIONS to suggest@xxxx>
-----------------------------------------> Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
--------------------------------------------> Check group
FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > Your use of Yahoo! Groups is subject to the
Yahoo! Terms of Service. > > >
---> Outgoing mail is certified Virus
Free.> Checked by AVG anti-virus system (<A
href="">http://www.grisoft.com).>
Version: 6.0.525 / Virus Database: 322 - Release Date:
10/9/2003
Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
<BLOCKQUOTE
><FONT
face="Courier New">---Outgoing mail is certified Virus
Free.Checked by AVG anti-virus system (<A
href="">http://www.grisoft.com).Version: 6.0.525
/ Virus Database: 322 - Release Date:
10/9/2003
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|