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However... dont't forget about the issue of Survivorship. You used the N100 as a filter for stock selection, which is already going to influence your results...
JonathanHerman van den Bergen <psytek@xxxxxxxx> wrote:
Hello qt,
On page 138 VT writes: "... In fact, over 1000 trials you could easily have 10 losers in a row...."
Here is an old test result of a mediocre trading system that was designed for a handful of stocks, in order to get sufficient trials I ran the system on all stocks of the N100: a bad combination that gave only about 50% winning trades. Even so, in the 8000 trades thus simulated there was not one losing streak with more then 6 losers in a row. This goes to show that generalized and popularized opinions may not apply to your system and for this reason I encourage people to do their own homework.
best regards,
herman
Losing Streak
6
5
4
3
2
1
Probability of occurrence
0.10%
0.31%
0.78%
2.49%
8.49%
37.18%
-----Original Message-----From: quanttrader714 [mailto:quanttrader714@xxxxxxxxx]Sent: Tuesday, March 09, 2004 5:47 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: Comments on Van Tharp courses pleaseWhoa!!! I feel an obligation to correct the record because you and Palkeep going on and on and clearly neither of you understands thisstuff. More comments below.--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"<psytek@xxxx> wrote:> Some time ago we had lengthy discussions on Von Tharp's theories.If i> recall correctly he treats the market like a Random phenomena You recall incorrectly. On page 42 he specifically states "the marketsare not random."> and bases all> his statistical analysis on that. This is completely contradictoryto those> of
us who design mechanical trading systems that give 60-75% winningtrades,There is *absolutely nothing at all* contradictory with "Von Tharp'stheories" <sic> and "mechanical trading systems that give 60-75%winning trades." > have well distributed and defined losing and winning streaks, andhave> profit as well as stop control measures in place.> > At the time of the thread i bought and read his book "Trade yourway to> finacial freedom". It was fun reading however I proved a number ofhis> assumptions wrong 'for my trading systems'; my systems aredefinitely not> random. Where are you getting random systems from? Van Tharp specificallysays that a system must have a positive expectancy to make money. Inother words, an edge. Nothing random about that. Does this mean theconcept of randomness has no valid role to play? Absolutely
not.>Testing several systems over 280,000 bars, with average trade> durations from 2-10 bars his predictions for winning and losingstreaks for> example was way off. Huh?>If you are interested you may search the archives, i> posted some of my code used to analyze systems, as well as resultscomplete> with charts on this list.> > Far too little time is spend on system analysis, way too much timegoes into> driving profits up by optimization. All systems are different;analyze your> own systems, do not believe that anybody else can tell you have theybehave> under various market conditions.Again, you've totally missed the point. I urge any new tradersreading this thread to read Van Tharp's book because the conceptsabsolutely work if understood and applied properly.> > bets regards,> herman.> -----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 playedwith> 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 thinkI> have unlocked the secret code for the right combination of theRisk> ($ 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 theinstructions> 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 tradingsystem> 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 howmuch> to risk. Overall, level two is an even better system than levelone> 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 tostart> again at the beginning of the game if you don't have a saved gameat> 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 75trades> so that you can advance to level four. However, you will> automatically advance to level three should you increase yourequity> by 500% from the starting value.> > If you have not made a profit at the end of 75 trades, you willneed> to start this level over again. However, if you have made aprofit> that's less than 50%, you
will then have another 25 trades toreach> 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 yourprior> 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 oflarge 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 wouldyou> 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 isone> of the skill requirements of this game. What is your worst-case> loss? It's four percent, so you'll risk bankruptcy by riskingover> 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 likelythat> you might have 9 losses in a row in your 75 trades. You mighteven> 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 ownstrategy.> > 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 theinstructors> > cannot be heard for short periods until the microphone picksthem> > 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 Analysisof> > 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 abouthimself> > when he went through it, but I don't think he is using much ofit> > 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, sogoes> 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 coursesplease> > >> > >> > > 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 workswith> > them on some of the areas that Tharp deals with, such as makinga> > business plan. Seems like Tharp goes into areas
that will> > psychologically prepare you for trading. I guess I'll have toread> > 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 coursesplease> > >> > >> >
> 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, themain> > 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 Managementplus> > his book "Trade Your Way to Financial Freedom" and learn all you> need> > about money management for a fraction of the price of hiscourse,> > 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 coursesplease> > >> > >> > > 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> > >> > >> > > Send BUG REPORTS to bugs@xxxx> > > Send SUGGESTIONS to suggest@xxxx> > >
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