|
PureBytes Links
Trading Reference Links
|
As b correctly points out ... trading the equity curve successfully
is more appropriately a contratrend event i.e. an overbought /
oversold system where as pullbacks in equity occur one becomes MORE
invested, not less.
--- In amibroker@xxxxxxxxxxxxxxx, eric paradis
<thechemistrybetweenus@xxxx> wrote:
> 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@xxxx> 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@xxxx> 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@xxxx>
> > 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
> > > >
> > > >
> > >
> > >
> > > __________________________________________________
> > > Do You Yahoo!?
> > > Tired of spam? Yahoo! Mail has the best spam
> > protection around
> > > http://mail.yahoo.com
> > >
> > >
> > >
> > > Please note that this group is for discussion
> > between users only.
> > >
> > > To get support from AmiBroker please send an
> > e-mail directly to
> > > SUPPORT {at} amibroker.com
> > >
> > > For other support material please check also:
> > > http://www.amibroker.com/support.html
> > >
> > >
> > > Yahoo! Groups Links
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> >
> >
> > --
> > Janeczko for President!
> >
>
>
> __________________________________________________
> Do You Yahoo!?
> Tired of spam? Yahoo! Mail has the best spam protection around
> http://mail.yahoo.com
------------------------ Yahoo! Groups Sponsor --------------------~-->
Get fast access to your favorite Yahoo! Groups. Make Yahoo! your home page
http://us.click.yahoo.com/dpRU5A/wUILAA/yQLSAA/GHeqlB/TM
--------------------------------------------------------------------~->
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|