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hi,
you are obviously very knowledgeable but the problem I have with your posts is that it feels like I am reading out of one of these trading books where they claim to exactly know how to make good profits and explain it in a very lengthy way and in the end when I ploughed all through it I ask myself ..... what have I been reading and haven't I been reading this before in some other book and what did I learn? Can I use what he is saying? No actually not.
All over the place you can read about the fact that money management is the trick to increase your profits substantially. In Ralph Vince his book I liked the example of the coin and what amount (25%) of your capital you have to risk each time you place a bet (the Kelly principle). All this leading to Optimal f but for trading with stocks I haven't found a use for it. In my simple mind I believe one simply has to have good timing skills but I would be very happy to be convinced otherwise.
Since you understand money management maybe you can explain what you mean by it (optimal f or do you just mean that you don't put all your money in 1 bet :) ). Maybe you could give a simple example why for instance Optimal f would transform a marginally winning stock trading system into a supersystem. I just don't see it. If you come with concrete examples that make sense (I don't mind if you just copied them from one of your books) I will be very happy to read it.
Maybe you can help me with this simple example: I trade Nasdaq 100 stocks. My capital I divide in portions of 5% per trade. It is a swing system of which 60% of the time I win. On average the winners are the same as the losers in percent. What money management should I now use to make this sytem increase it's profits more rapidly.
thanks, Ed
----- Original Message -----
From: Pal Anand
To: amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, October 02, 2004 9:54 AM
Subject: [amibroker] Re: Awesome trading system
Ed,
Good to hear from you. I have always been a Position Trader using
Mechancial Systems. I have developed high-performance systems that
return over 100% per month through effective money-management. Am I
the only one. No way. It is all to do with money-management, though.
There-in lies the holy-grail. Those kinds of return are only
possible using optimum position size based on the Kelly criterion
combined with a high-performance, high-expectancy system.
The higher the %wins, the more the Expectancy of your system. Returns
depend on the position size involved in the trade which inturn
depends on the total account value, exchange rate, %risk/trade, stop
loss price, price change/row, value per market unit and the current
price. Optimize for expectancy without regard to anything else and
you will find that you will make more profits consistently and all
measures like CAR, MAR, Sharpe Ratio, Ulcer Index and UPI are taken
care of.
Am I a genius? No way. I am the student of the markets and
a Trading Coach who prepares my students for war in the market with
traders. I learned a long-time ago that if I want to achieve
consistent performance, that the market is the genius and my teacher.
I am of the opinion, the rules of trading are reversed for day-
trading, for example, day-trading forces one to cut your profits
short and let your losses run, exactly the opposite of Position
Trading. What kind of a insane approach is that. Better to do
swing trading.
These days, few traders find it profitable to scalp or trade
intraday anymore. Most traders prefer to make swing trades, but
swing trading can be boring at times. Depending on your total
capital, it is hard to make too many swing trades and also limit
risk. You can make only a few trades, and you usually must wait at
least a few days before you can take any action. Assuming that your
trade setup isn't completely wrong, it takes a little time to find
out what happens. All you can do is execute a trade, or a few swing
trades, and wait. It takes a certain kind of trader to swing trade,
a patient trader. A scalper, for example, wants to get in and get
out. Waiting patiently is hard. It's an uneasy feeling. Other
traders may like to put on trades for excitement, and they just
can't wait to see what happens. In the meantime, the waiting is
agony. It can be tedious waiting to see the outcome.
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "ed nl" <ed2000nl@xxxx> wrote:
> heeeee, I remember these never ending posts not so long ago that
claimed mechanical systems with profits of a few 100% a year or was
it a few 100% a day. Now you have become a position trader ??
wow !!!! Wonder how much they make!
>
> ed
> ----- Original Message -----
> From: Pal Anand
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Saturday, October 02, 2004 7:48 AM
> Subject: [amibroker] Re: Awesome trading system
>
>
> Any day trading system, however awesome, discretionary or
> mechanical, can ultimately by defeated by a superior position
> trading system, discretionary or mechanical. Short-term profits
> leads to long-term ruin. In this case, it is the virtue of
patience
> combined with solid money-management techniques that makes the
> position trading system far superior to any day-trading system,
in
> general. The free-market is ruled by those who can see and plan
> long-range; the better the mind, the longer the range of
planning.
> If you need, just ask Mr. Warren Buffet for a confirmation of
that...
>
> rgds, Pal
> --- In amibroker@xxxxxxxxxxxxxxx, "Geo Singleman" <geosing@xxxx>
> wrote:
> > I don't use any AFL other than automatically drawing the pivot
> range and the
> > A UP and A Down lines. I doubt it can be made mechanical
because
> there are
> > no precise entry triggers. As in everything in trading, there
are
> no
> > absolutes. e.g. After a good A Up, price can still go through
the
> opening
> > range and end up at the low of the day. A mechanical system
would
> get you in
> > and stop you out every single time in such cases.
> >
> > ACD is a daytrading system, suitable only for liquid and
volatile
> markets
> > which have good daily range. I doubt you can trade such
markets in
> a
> > mechanical fashion, but that may be due to my lack of
knowledge
> about
> > mechanical systems.
> >
> > Geo
> >
> >
> > ----- Original Message -----
> > From: "Al Venosa" <advenosa@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Friday, October 01, 2004 08:28 PM
> > Subject: Re: [amibroker] Awesome trading system
> >
> >
> > >
> > > Thanks a lot, George and Scott. I very briefly read the
article
> Scott
> > > referenced, admittedly without studying it in great depth.
> However, I
> > > found the explanations so convoluted and confusing as to
have
> limited
> > > usefulness. I guess if you really wanted to learn the
system,
> you'd have
> > > to buy Fisher's book, which I am not adverse to doing. When
I
> get a
> > > chance some time, maybe I'll do that. Thank you, George, for
your
> > > explanation. I prefer totally mechanical systems, especially
> since I
> > > have a full-time job, unable to watch the monitor all day to
make
> > > discretionary decisions. I'll keep this reference handy for
the
> > > not-too-distant day when I retire. The system looks
promising,
> and I'm
> > > glad to hear you are successful using it. Have you developed
> entry and
> > > exit code in afl yet? Do you think it could be made into a
fully
> > > mechanical system without discretionary decision-making?
> > >
> > > Regards,
> > >
> > > Al Venosa
> > >
> > > Geo Singleman wrote:
> > >
> > > > It is not a system, it is a methodology, for which credit
goes
> to Mark
> > > > Fisher, who is a NyMex energy trader/local and has a
clearing
> > > > operation for
> > > > energy futures. The methodology called ACD is explained in
his
> book -
> > The
> > > > Logical Trader.
> > > >
> > > > It is a simple Opening Range breakout system with
additional
> nuances
> > based
> > > > on daily pivot ranges.
> > > > Simply stated, it is as follows:
> > > > On a good A Up, your bias is on the bullish side and you
go
> long.
> > > > Good A Up is when the price trades for at least half the
time
> used for
> > > > determining the opening range. e.g. if 15 minute OR, then
> price must
> > > > trading
> > > > certain number of ticks above OR High for 7.5 minutes for
it
> to be a
> > > > good A
> > > > UP. Same with A Down, where you get a bearish bias and
must
> think short.
> > > > There are other layers such daily pivot range and price
> behavior at or
> > > > through the pivot range. The OR time period and the offset
> depends on
> > the
> > > > tradable and its volatility profile.
> > > >
> > > > I trade this method and make a living at it. It is not
> mechanical and
> > > > a lot
> > > > of discretion is involved in determining trade locations
and
> size. What
> > it
> > > > does give you is a way to define the risk so that you have
a
> clear
> > trading
> > > > plan - especially if and when the market proves you wrong.
> > > >
> > > > Geo
> > > >
> > > > ----- Original Message -----
> > > > From: "Al Venosa" <advenosa@xxxx>
> > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > Sent: Friday, October 01, 2004 02:54 PM
> > > > Subject: Re: [amibroker] Awesome trading system
> > > >
> > > >
> > > > > The "system" is not a system, since it has no
> buy/sell/short/cover
> > > > > statements in the code. I copied it into the IB and
plotted
> it, but I
> > > > > have no clue what I'm looking at. Anyone care to explain
> what it's all
> > > > > about or why it's awesome?
> > > > >
> > > > > Al Venosa
> > >
> > >
> > >
> > > [Non-text portions of this message have been removed]
> > >
> > >
> > >
> > >
> > > Check AmiBroker web page at:
> > > http://www.amibroker.com/
> > >
> > > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > Yahoo! Groups Links
> > >
> > >
> > >
> > >
> > >
> > >
> > >
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
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