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Thank
you Pal,
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>interesting comments and URLs. Reading some of the text I feel even more
strongly that whatever MM you use is very much dictated by the type of trading
system you use. Some of the articles still seem to talk about
"investing", I am embarrassed to even use that word among my friends
;-)
<FONT face=Arial color=#0000ff
size=2>However i agree that some parts of MM are universal and make common
sense. Nevertheless I think that for short term trading (0-3
days) market volatility and descretionary moves wipes out most of
the multi-digit precision/siginficance of MM; you have to develop your
own and very personal MM. There is no ready plan you can
adopt.
<FONT face=Arial color=#0000ff
size=2>
take
care,
<FONT face=Arial color=#0000ff
size=2>h
<SPAN
class=718051515-08032004><FONT face=Arial
color=#0000ff>
<SPAN
class=718051515-08032004> -----Original Message-----From:
Pal Anand [mailto:palsanand@xxxxxxxxx]Sent: Monday, March 08, 2004
4:23 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Re: Comments on Van Tharp courses please
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 <A
href="">http://keplerweb.oeh.uni-linz.ac.at/trading/moneyMan.htmIf
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).<A
href="">http://www.capmag.com/article.asp?id=2623<A
href="">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@xxxx]> 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:>
> <A
href="">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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