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b,
I spent some time playing around with the idea,
starting with roundlotsizes, just as a basic idea that
its easy to change them on the fly instead of messing
with position sizing.
That didnt do much at all either up or down on my
test. I couldnt get the code right based on the
sample, so I moved on to position size changes based
on the current equity.
Using position size changes, I have something that
looks promising.
e =Equity();
PositionSize = IIf( Ref(Equity(),-20)>e*1.05,
RiskPS*.25, RiskPS);
PositionSize = IIf( Ref(Equity(),-20)*1.05 < e,
RiskPS*1.25,RiskPS);
Seems I get an extra 5% annual return over 25yrs on
stocks using this.
Eric
--- 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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