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Hi Sean,
you could find the formula and my reasoning for it in the online AFL
library of AB. For your convenience, find it below.
MACD and STO are just simple systems already included as indicators
in AB and most other TA Software - nothing special.
I took them only as an example and they can be replaced by any
system you like.
I wanted to show a system which includes a more sophisticated method
for moneymanagement compared to the usual "equalweight" portfolio
compositions. This formula for MM has been derived from the findings
of Dr. Van Tharp, that a volatily / low risk level-based portfolio
composition / Moneymanagement can yield superior results, even if
the tradingsystem itself is less profitable than others.
The parameters selected in this system are geared for shortterm
trades but can be changed according to the personal trading style.
Also please note, that this system is only a simple derivative of
Van Tharps ideas.
My current system is somewhat more comprehensive and is not intended
for public use.
On my former website "tradeshark.de" I demonstrated the impact of
this type of MM on a realtime basis for a 2 weeks position trade in
a portfolio of 10 stocks - compared to the same tradingsystem with
an equally weighted portfolio of the same stocks. The result was
stunning. That's all I want to say here.
Again, it's not the holy grail, but it keeps your risk very low.
Most traders were really surprised how tiny their positions become
when applying a strict risk control compared to the sizes they trade
usually.
Also, this MM system needs to be followed pro-actively and can help
if one likes scale in, scale out strategies, since the code
generates the ideal positionsize for every trading bay based on
changes in the underlyings volatility. Whether one takes those
suggestions or not is up to the trader himself.
However, scaling down a position when volatilty rises saved "my ass"
several times over thalst 2 years.
Also, when trading this system, never adjust a stop downwards. The
system generates stops for each trading day, but you should adhere
the stop valid for the day you entered the position and trail it
only in the direction of your trade, of course.
It's up to you, to enhance / change the code according to your
needs and personal risk tolerance. You should also always monitor
the total volatility of your combined portfolio.
Here the code :
http://www.amibroker.com/library/formula.php?id=123
regards
Stefan
--- In amibroker@xxxxxxxxxxxxxxx, "seancaw" <seancaw@xxxx> wrote:
> Hi,
>
> I read Dan Clark's post ( Post # 84721 )where he mentioned about
> your Buy signals using MACD & Stochastics.
> -------------------------------------------------------------------
--
> It reads :
>
> Also, you mentioned that your position sizing scans were in
> TC2005. In the AFL Library, I found your AFL "STO & MACD Buy
> Signals with Money-Management". Are those position-sizing
> algorithms and the ones you use in TC2005 the same?
>
> Thanks and best regards,
> Dan.
> -------------------------------------------------------------------
--
>
> Can you kindly e mail me that article ? I am a newbee & would like
> to learn those indicators.
>
> Thank You Much
> Sean
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