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Mark,
I suspect that the numbers Alex is looking for are in terms of
dollars as opposed to percent not only because of what you stated but
also because this is the way most futures traders usually look at
things and I think Alex most naturally fits in that classification.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
<quanttrader714@xxxx> wrote:
> Looking at this closer... using profit/trade in $ as opposed to %
> terms can introduce a whole bunch of complications, especially when
> comparing results on different issues or even on the same issue if
> there's a significant change in price during the test period,
> depending on system test settings. With that said, obviously this
guy
> knows that from just guesstimating the brainpower required to put
> a package like this together. So it seems as if this product is
more
> oriented toward developing/comparing/contrasting position sizing
> strategies on specific issues... looks like it's well worth the $37
> for just the "hands-on" education on position sizing methodologies
> alone. I still personally prefer a generic MCS package where you
can
> brew your own but will probably buy this anyway and play with it to
> see what ideas I can get. Would be nice, BTW, if the graphs for
> return% maxdd, etc. had numbers on the x axis.
>
> Ken, to address your question, let me put what's required for input
> into specific terms for the board. You'd need to somehow coax the
> following out of AB in 3 columns, with each row providing numbers
on a
> *per trade* basis. Anyone care to take a stab?
>
> 1. Closed trade profit/loss in $
> 2. Risk (stop loss) in $ at trade entry
> 3. 20 day ATR at trade entry
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> > Fred: you got your message "reply to" mixed up it seems.
> >
> > I read the FAQ line by line. No help for the question I asked.
> What
> > would be the AB outputs.
> >
> > Profit per trade is obvious.
> > Volatility could be ATR (but of course that does not show up in
the
> > trade report but can be generated)
> > What about Stops? What number is that from AB?
> >
> > Ken
> >
> > -----Original Message-----
> > From: Fred [mailto:fctonetti@x...]
> > Sent: Thursday, November 06, 2003 8:51 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Robustness Challenge Update
> >
> > He explains a little more in the FAQ ...
> >
> > http://unicorn.us.com/trading/prosizerfaq.html
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "E Winters" <e.winters1@xxxx>
> wrote:
> > > Fred,
> > > A while back you posted a system for the QQQ. Might this be
> > a "system" to
> > > start with?
> > > Regards,
> > > Ed
> > > ----- Original Message -----
> > > From: "Fred" <fctonetti@xxxx>
> > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Wednesday, November 05, 2003 3:29 PM
> > > Subject: [amibroker] Re: Robustness Challenge Update
> > >
> > >
> > > | Mark,
> > > |
> > > | I seem to be participating more than most which I at least
find
> > to be
> > > | a little strange. One of the probs for some will be the need
> to
> > find
> > > | and install a decent MCS product. Some won't want to spend
the
> $,
> > > | some won't want to spend the time etc. By the way Alex
> Matulich
> > has
> > > | a product in this area for I think about $37 that midgt fill
> the
> > bill
> > > | for those who are interested but don't want to go for a more
in
> > depth
> > > | product.
> > > |
> > > | Beyond that though as I stated at the beginning, I have no
> > particular
> > > | interest in the last couple of steps you outlined i.e.
> publication
> > > | and real account trading.
> > > |
> > > | In my case I can't even say that I have a great data vendor
for
> > > | stocks because as I've stated previously I don't really trade
> > stocks.
> > > |
> > > | That aside for a minute, I have suggestion which may be a
> little
> > off
> > > | the wall but I'll put it out there any way. Since you've
> > obviously
> > > | been doing this for some time, how 'bout starting the group
off
> > with
> > > | a little system that although you might consider to be robust
> > even if
> > > | only marginally is also something that you don't actually use
> for
> > > | trading any more. This would at least allow some to go
through
> > the
> > > | process with something that at least sort of works so they can
> > > | proceed from there.
> > > |
> > > | Just an idea ...
> > > |
> > > | Fred
> > > |
> > > | --- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
> > > | <quanttrader714@xxxx> wrote:
> > > | > Now that I've posted the criteria, I feel we've had some
good
> > > | > discussions but frankly don't see enough interest out there
to
> > > | provide
> > > | > the effort it would take to refine the criteria or even use
> as
> > is,
> > > | > develop some robust systems, write a trading plan, iron the
> > bugs out
> > > | > in simulated trading and then trade in real time with real
> > money.
> > > | I'm
> > > | > actually surprised there's not more interest in
participating
> > in the
> > > | > trading process from soup to nuts as I've outlined,
especially
> > > | since I
> > > | > offered to put up the $. Would be quite an education for
> > anyone, no
> > > | > matter how much experience they have, but particularly for
> > newbies.
> > > | > Not to mention fun. Which is why I offered to lead such an
> > effort
> > > | in
> > > | > the first place. No hidden agendas here.
> > > | >
> > > | > Anyway, if I've misread things and you are interested,
> *please
> > email
> > > | > me privately* and let me know the extent to which you
> personally
> > > | would
> > > | > like to participate. If I get enough emails indicating
there
> is
> > > | > critical mass, I'll either start this in Amibroker-ts or in
a
> > new
> > > | > group that everyone here would be welcome to join. If not
> then
> > I'll
> > > | > still be around, in drips and drabs, as I have in the
past.
> > Thanks
> > > | > for the interesting and civil discussions.
> > > | >
> > > | > Regards,
> > > | >
> > > | > Mark
> > > |
> > > |
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