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<FONT face=Arial color=#0000ff
size=2>InLine...
<FONT face=Tahoma
size=2>-----Original Message-----From: Pal Anand
[mailto:palsanand@xxxxxxxxx]Sent: Monday, March 08, 2004 4:30
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Comments on Van Tharp courses please
Hi Herman,I rearranged your reply for convenience.---
In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen" <psytek@xxxx>
wrote:> Thank you Pal,> > 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.> I
agree that MM is mostly common sense, however it applies equally to
long-term, medium-term and short-term trading. The duration of
trading should make no difference. If one is trading with the
direction of the current trend, then the setup is a low risk setup.
If one is able to identify low risk setups then one can survive
anything the market throws at you, even overnight gaps, market
volatility and discretionary moves. Short-term profits without
condisdering the long-term risk leads to long-term ruin... <SPAN
class=828394622-08032004><FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>All good comments, but there are so many ways to look at
this.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>imho MM is strongly related to trading systems. For example the risk of
losing streaks that VT talks about, he based that risk on a Random market, if
you have a system that only works on a few stocks and trades very slow then
you have to work with that risk assessment. You simple do not have sufficient
data to argue with Randomness.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>On the other hand if you have a system that works on 25+ stocks and
that trades every 1-3 days then i can have 25stocks * 5years *
280tradingdays/1.5barspertrade = 23,000 trades to analyze and give me
statistical confidence that my system is non-Random. With this amount of data
I can generate a very nice distribution chart for winning and losing streaks.
On that differ drastically from what VT shows.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>The same goes for percentage winning/losing trades. With limited data
you have to assume a Random market, however if you have lots of trades to
analyze you can make nice distribution charts here too. I once posted a simple
trading system that had well-defined losing and winning streaks, i was able to
increase stakes progressively after losing streaks: profits went up.
Traditional MM would argue with this approach. But for a well-designed and
researched system with suitable stats it
works.
<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 ;-)"One must measure what one might gain in
the short run (Reward) by what one might lose in the long run
(Risk)." Why are long-term interest rates higher than the short-term
interest rates? What would happen if it is the other way?
Think about it. When one understands the significance of these,
trading instead of being gambling, becomes investing for the
long-run...<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>I agree that reward is proportional to risk, i can trade a system
with a single stock and make double the profits I would make by trading a
basket of 5 with the same system. But that is what trading is all about :-) we
want to do a little better than interest rates and are willing to take a
calculated risk to attain that.
<SPAN
class=828394622-08032004><FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>best regards,
<FONT face=Arial color=#0000ff
size=2>herman. > > take care,>
hrgds, PalSend BUG REPORTS to
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