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Greetings --
I believe the spelling of his name is Tharp -- Dr. Van K. Tharp. I have read several of his books, and recommend one -- "Trade Your Way to Financial Freedom, Second Edition." You can safely skip "Safe Strategies for Financial Freedom" and "Financial Freedom Through Electronic Day-Trading." Tharp and his company -- International Institute of Trading Mastery -- are heavily into presentation of seminars.
He has a PhD in psychology, and he emphasizes the psychology of trading and becoming comfortable with your system. His area of psychology is Neuro-Linguistic Programming, which he incorporates into his book.
He recognizes the importance of expectancy and has an unusual (and, I think, confusing) approach to it. (In the first edition of "Trade Your Way," he explained expectancy incorrectly, which he admits in the second edition.)
He discusses the development of trading systems, but either fails to mention or is weak on several points that I think are central to development of robust systems:
1. Design your own objective function. Doing so removes the psychological dissonance of trying to trade a system you are not comfortable with.
2. Divide the data into in-sample and out-of-sample. Build the model using the in-sample data, then test it using the out-of-sample data. Pay no attention to performance over the in-sample data -- it has no value in predicting whether a trading system will be profitable in the future.
3. Use a walk-forward process to build confidence in the robustness of the system.
He does say that entries are less important than exits. I agree completely with him. And I do not think that the type of system or length of holding period matters -- exits are more important than entries.
He has announced a forthcoming book -- "The Definitive Guide to Expectancy and Position Sizing" -- to be published in 2008.
Thanks,
Howard
www.quantitativetradingsystems.com
On 10/10/07, Clement Chin <yitman@xxxxxxxxxxxxxx> wrote:
BTW, I think his name is Dr. Van Tharpe.
From:
amibroker@xxxxxxxxxps.com [mailto:
amibroker@yahoogroups.com] On Behalf Of Boris Kanevsky
Sent: Wednesday, October 10, 2007
4:42 AM
To: amibroker@xxxxxxxxxps.com
Subject: Re: [amibroker] OT - Van
Thorpe
Ara
Kaloustian wrote:
>
> Has anyone read books by Van Thorpe or worked with him on trading issues?
>
> Appreciate your comments
>
> Ara
>
Hi Ara!
I read Books & articles by Van Thorpe and E-mail to him several times.
His basic idea , that Entry point less impotent than exit, so he suggest
to concentrate on exit ,not entry.
But to me , that not always true. Specifically for trend follow system
,exit more impotent , but for other
trading systems it is hard to verify. Start from 2004, to present
trend follow systems perform very poor.
I am glad that same guy asking trading questions, not technical.
Regards, Lanbor.
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