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Hi Herman,
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxxx> wrote:
> Some time ago we had lengthy discussions on Von Tharp's theories.
I read all of your past posts regarding Money Management, your
discussions with William Wong, Al, Ara, Ken etc., Thanks for
posting the results of your tests and links for the Money
Management. I am yet to fully read them all. , particularly
http://keplerweb.oeh.uni-linz.ac.at/trading/moneyMan.htm
If i
> recall correctly he treats the market like a Random phenomena and
bases all
> his statistical analysis on that. This is completely contradictory
to those
> of us who design mechanical trading systems that give 60-75%
winning trades,
> have well distributed and defined losing and winning streaks, and
have
> profit as well as stop control measures in place.
I agree. Also, Tharp says: People are always looking for
the "real" secrets of trading success, but their mental biases
always have them looking in the wrong places and at the wrong
things. Consequently, they search for magical trading systems with
75% accuracy or better or for great entry systems that they think
will help them pick the right stock. Picking the right stock has
nothing to do with success and neither does the accuracy of your
stock picking.
I strongly disagre with the above statement. Half of
investing/trading is knowing what and when to trade. The other half
is knowing what amount to risk. His statements are due to a strong
belief in the Efficient Market Hypothesis (EMH).
http://www.capmag.com/article.asp?id=2623
http://www.capmag.com/article.asp?id=2883
>
> At the time of the thread i bought and read his book "Trade your
way to
> finacial freedom". It was fun reading however I proved a number of
his
> assumptions wrong 'for my trading systems'; my systems are
definitely not
> random. Testing several systems over 280,000 bars, with average
trade
> durations from 2-10 bars his predictions for winning and losing
streaks for
> example was way off. If you are interested you may search the
archives, i
> posted some of my code used to analyze systems, as well as results
complete
> with charts on this list.
>
> Far too little time is spend on system analysis, way too much time
goes into
> driving profits up by optimization. All systems are different;
analyze your
> own systems, do not believe that anybody else can tell you have
they behave
> under various market conditions.
>
Part of exploiting and maximizing a trading systems potential is
knowing how to risk our money. A well thought out system should
have the entry and exit point fixed before the trade is entered. The
difference is your risk. The money management discussion "how many"
is then based on your total account size, %Risk/Trade, Entry and
Exit points. MM has everything to do with Entries and Exits
(Stops), because one needs to use these entry and exit stops your
system and the market specifies in order to determine the "how
many". This is one of the great secrets. This goes contradictory
to the game's philosophy which treats entries and setups as false
control illusions.
It is true that while we are searching for a Holy grail system
spending endless time there, position sizing might offer a much
easier path because it optimizes expectancy while controls the risk
of your choice, you know you can live long enough to earn your
expectancy returns.
I agree with Edward O. Thorp who says: The central problem for
gamblers is to find positive expectation bets. But the gambler also
needs to know how to manage his money,i.e. how much to bet. In the
stock market (more inclusively, the securities markets) the problem
is similar but more complex. The gambler, who is now an investor,
looks for excess risk adjusted return. In both these settings, we
explore the use of the Kelly criterion, which is to maximize the
expected value of the logarithm of wealth (maximize expected
logarithmic utility). The criterion is known to economists and
financial theorists by names such as the geometric mean maximizing
portfolio strategy, maximizing logarithmic utility, the growth-
optimal strategy, the capital growth criterion, etc.
MM is an integral part of the basic system design and the goal of
your system should be to bet the optimum amount, where the
risk/reward ratio of your system is the best it can be, i.e., it
maximizes expectancy within levels of risk that are acceptable. If
you have an edge over this game, then you should take advantage of
it, but do it with the track's money by using a small initial
bankroll, i.e, an Anti-Martingale system unless one is day-trading.
But, in order to apply MM effectively, trader's needs to have a
defined system for entering and exiting the market with a historical
and accurate profit and loss record. Having a well tested trading
system helps insure that traders get consistent trading results from
future trades, within normal statistical boundaries. It is
understanding these statistical boundaries that represents a large
aspect of managing an account both effectively and efficiently. The
main way traders learn to understand these statistical boundaries is
to have a sufficient sample of tested trades.
> bets regards,
> herman.
rgds, Pal
> -----Original Message-----
> From: Pal Anand [mailto:palsanand@x...]
> Sent: Sunday, March 07, 2004 4:34 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Comments on Van Tharp courses please
>
>
> I downloaded the free "Secrets of the Masters Game" and played
with
> it. The first 2 levels are a piece of cake. The 3rd level is
> difficult, but in only 3 trials out of 75 I finished it. I
think I
> have unlocked the secret code for the right combination of the
Risk
> ($ per Share) and Investment level (# Shares to buy.) This is no
> mean feat. There is only one combination which is optimum. Find
> this combination and I would acknowledge that you are a Master
and
> you dont need to spend on anything else. Here are the
instructions
> to download and for the game:
>
> http://www.iitm.com./_vti_bin/shtml.dll/regform.htm
>
> Position Sizing™: The Secrets
> of the Masters Trading Game
> Instructions for Level Three
>
> This level is similar to level one. You are given a trading
system
> that goes long in the market. Your only choice is to decide how
> much to risk for each trade. That's it! You simply decide how
much
> to risk. Overall, level two is an even better system than level
one
> gave you. Over many trials, your expectancy will be 0.91 as
> compared with 0.45 for the first level.
>
> Now that you've reached this level, we recommend that you begin
by
> saving the game. If you should go bankrupt, you will have to
start
> again at the beginning of the game if you don't have a saved
game at
> this level. However, we hope you can get through the game
without
> going bankrupt.
>
> Once again, you will have the opportunity to make 75 trades.
Your
> minimum goal is to make a profit of 50% by the end of the 75
trades
> so that you can advance to level four. However, you will
> automatically advance to level three should you increase your
equity
> by 500% from the starting value.
>
> If you have not made a profit at the end of 75 trades, you will
need
> to start this level over again. However, if you have made a
profit
> that's less than 50%, you will then have another 25 trades to
reach
> your goal of 50% to advance to the next level.
>
> If you have a loss at the end of 75 trades, you will have to
start
> the level over again with a 10% penalty (subtracted from your
prior
> starting equity).
>
> The probabilities and payoffs for this level are given in the
> statistics section of the game (in the View menu.) We'd suggest
> that you study them carefully and develop a strategy before you
> begin the game.
>
> Level Three
>
>
> Questions & Answers
>
> Question:
> Why am I not allowed to go short? I would be right 70% of the
> time. Isn't that what it's all about?
>
> Response:
> Hopefully you'll step out of the box of needing to be right by
> playing this game. You should be learning the importance of
large R-
> multiples over being right. Wait until you get a 30R or 20R
trade
> in your favor and see what that does for your account. Or would
you
> rather have that against you? If being right is that important
to
> you, you'll have your chance to go against the expectancy in
level
> five.
>
> Question:
> What's a good strategy to play this game?
>
> Response:
> Figuring out a good strategy and learning from your mistakes is
one
> of the skill requirements of this game. What is your worst-case
> loss? It's four percent, so you'll risk bankruptcy by risking
over
> 25% on any trade. Also think about how many losses you could
have
> in a row. You're only right 30% of the time. It's very likely
that
> you might have 9 losses in a row in your 75 trades. You might
even
> have a streak of losses as big as 20 or more. You need to play
to
> survive that you that you can make money on the 30R trades that
> might come up. With those two guidelines, design your own
strategy.
>
> IITM also sells products designed to help you with strategy
> development. These include 1) the money management report; 2) a
> newsletter issue devoted to optimal bet size; and 3) optimal bet
> size software that will be available for purchase in mid-2002.
>
> Question:
> Once again, I don't have much information on any of these
> investments or trades. How am I to know which one's will go up?
>
> Response:
> You don't know what will go up, that's true. But you do know the
> payoffs and probabilities of the system you will be trading.
That's
> all you need to know to figure out to work out bet sizing
> strategies. Those strategies are the key to success and this
game
> is designed to get you away from predicting the market and into
> thinking about those strategies.
>
> rgds, Pal
>
> --- In amibroker@xxxxxxxxxxxxxxx, "relentless1000" <cgmv@xxxx>
wrote:
> > I purchased the "Developing a winning trading system that fits
> you"
> > audio tape course back in December 03 (got it on sale for
$699).
> > Just as I've found with other books and courses its not a
> blueprint
> > for making a fortune, but I did come away learning a handful of
> > helpful things.
> >
> > I found it a little pricey since it is an audio taped seminar.
> The
> > advertising for it says it's profesionally edited. I found the
> > recording to be of less quality than I expected. Several times
> > through the 12 tapes people in the seminar ask questions or
make
> > comments that you cannot hear well, sometimes even the
instructors
> > cannot be heard for short periods until the microphone picks
them
> > up. Not a major problem but for ~ $ 700+, I expect a little
> better
> > job than this.
> >
> > The content is organized well and pretty informative, altough I
> think
> > for much less money you could buy some books and get pretty
much
> the
> > same info. I think if you studied Van's book "Trade your way
to
> > Financial Freedom" and Charles LeBeau's book "Computer
Analysis of
> > the Futures Market" (Charles was a major part of the audio
taped
> > course, I found his input very helpful) you'd get a majority of
> the
> > technical content.
> >
> > Good Luck
> >
> > GV
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx>
> wrote:
> > > All of his stuff is pricey. I never took his peak performance
> > course, but I know someone who did. He learned a lot about
himself
> > when he went through it, but I don't think he is using much of
it
> > today. Just like anything else. I don't think you are using
much
> of
> > the stuff you learned in college today, either, but it was good
> > training. You pays your money and you takes your chances, so
goes
> the
> > cliche. Why don't you call Van and ask him about his course
> > offerings?
> > >
> > > Al V.
> > > ----- Original Message -----
> > > From: Greg
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Saturday, March 06, 2004 10:56 AM
> > > Subject: Re: [amibroker] Comments on Van Tharp courses
please
> > >
> > >
> > > Al and Phil,
> > >
> > > Thanks for your comments on Van Tharps' courses. I was
> wondering
> > if you know anything about his Peak Performance Course for
> Investors
> > and Traders. It looks interesting, although a little pricey. I
> know
> > of people paying much more for a personal adviser that works
with
> > them on some of the areas that Tharp deals with, such as
making a
> > business plan. Seems like Tharp goes into areas that will
> > psychologically prepare you for trading. I guess I'll have to
read
> > through the description of the course more thoroughly and then
> decide
> > if I it would be worthwhile for me.
> > >
> > > Thanks again for your comments,
> > >
> > > Greg
> > > ----- Original Message -----
> > > From: Al Venosa
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Saturday, March 06, 2004 11:41 AM
> > > Subject: Re: [amibroker] Comments on Van Tharp courses
please
> > >
> > >
> > > Hi, Greg:
> > >
> > > I took Van's Advanced Stock Market course about 2.5 years
> ago.
> > Don't even know if he still offers it. Although I enjoyed it
> > immensely, especially all the money management material, the
main
> > lecturer, Dennis Ullom, was a CANSLIM trader of sorts. Since
I'm
> more
> > of a mechanical trading system type of person, I didn't get
that
> much
> > out of his presentations because a lot of that sort of trading
> > philosophy is discretionary, or at least subjective judgment.
If
> > that's your thing, then you will likely get a lot more out of
it
> than
> > I did. But I thought the money management stuff was very
> worthwhile.
> > For about $80, you could buy Van's Report on Money Management
plus
> > his book "Trade Your Way to Financial Freedom" and learn all
you
> need
> > about money management for a fraction of the price of his
course,
> > IMO.
> > >
> > > Regards,
> > >
> > > Al Venosa
> > > ----- Original Message -----
> > > From: Greg
> > > To: AmiBroker@xxxxxxxxxxx
> > > Sent: Saturday, March 06, 2004 10:18 AM
> > > Subject: [amibroker] Comments on Van Tharp courses
please
> > >
> > >
> > > Hi,
> > >
> > > I was wondering if anyone here has taken any of the
> courses
> > offered by Van Tharp. If so could you please comment on there
> > helpfulness.
> > >
> > > Thanks,
> > > Greg
> > >
> > >
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