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Neurotic, Im checking it out.
I already worked with some code for a fixed ratio
money management system previosuly and it was no where
near mine own money management in terms of returns.
I'm thinking this time of something that simply moves
to the sidelines until a threshold is crossed. Ill
check out docs articles and threads.
Eric
--- neurotic self <neuroticself@xxxxxxxxx> wrote:
> 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
> > >
> > >
> > >
> > >
> > >
> ____________________________________________________
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> > >
> > >
> >
> >
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> >
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> >
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> >
> >
> >
> >
> >
> >
> >
> >
>
>
> --
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>
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