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Eric:
The Trading Game: Playing by the Numbers to Make Millions by Ryan
Jones covered this kind of strategy to some extent, you may want to
have a look at it if you didn't already, it's a good book in spite of
the title.
As for the implementation: if you use the Custom Backtester Interface
you can implement this kind of strategy, look for Dingo's doc on the
beta site (will have to register)
http://finance.groups.yahoo.com/group/amibroker-beta/files/
Cheers,
neuro
On 8/28/05, b <b519b@xxxxxxxxx> wrote:
> I wish I could tell you what works, but I can tell you what
> does not (at least for my type of system). I tried testing
> this a couple years ago but it reducing my returns more
> than drawdowns. I only tried an ApplyStop approaches so
> there could easily be several ways to make this work that I
> did not try.
>
> ApplyStop did not work for me because when my basic system
> (the one tha made the equity curve) had a couple of bad
> drawdowns, the system often was ready to take off
> ("reversion to the mean"), but that was just the point the
> ApplyStop method put me in cash. The result was I still got
> much of the worse drawdowns but missed all of the initial
> recovery following the drawdown.
>
> One Tip: When testing on the equity curve, you have to
> carefully think through what your entry/exit delays should
> be. If it is a regular entry or exit (ie action based on
> indicators not related to the equity curve), the delay
> should be zero (since the original equity curve already has
> the delay built in), but if the action is based on the
> equity curve itself, then the delay should usually be 1.
>
> Another Tip: Here is an alternative I have found to be more
> promising for reducing drawdowns. Try rebalancing between
> the equity curves for two or three systems.
>
> One nice thing about is that buying and selling equity
> curves are fast.
>
> b
>
> --- eric paradis <thechemistrybetweenus@xxxxxxxxx> wrote:
>
> >
> > I had this thought today about trading my own equity
> > curve, as part of the risk management of my system.
> > Basically using 1 or a portion of the existing rules
> > of the system, but on the equity curve. Ideally,
> > modifying the systems risk levels when in a drawdown
> > and increasing to normal risk when in a trend. Any
> > idea on the best place to start this, or if anyone has
> > a similar implementation?
> >
> > Thanks,
> >
> > Eric
> >
> >
> >
> >
> > ____________________________________________________
> > Start your day with Yahoo! - make it your home page
> > http://www.yahoo.com/r/hs
> >
> >
>
>
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