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Total portfolio equity is what I'm talking about. Take a portfolio
that you have, run a system-test, chart the equity curve, then drag-
and-drop a moving average on top of it. That'll give you an example
of what I'm looking at with equity curve.
S.
--- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@xxx> wrote:
>
> Sebastian - thanks for the response. However, I think I'm talking
> about something different. I'm talking about using the overall
> performance/equity curve of a portfolio to modify the rules
associated
> with a trading system. But maybe I'm wrong - what did you mean by:
>
> "I swing in and out of the portfolio (long only) using a moving
> average of the equity as a "buy" area when the general market (SP500
> as proxy)"
>
> When you say equity in this case, do you mean portfolio equity? Or
do
> you mean AN equity (as in a single stock)?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia"
> <sebastiandanconia@> wrote:
> >
> > Coincidentally, I've just recently begun trading along these
lines,
> > with good success. With AB's ability to test and track
portfolios it's
> > relatively easy.
> >
> > My basic method: First, I use a stock screener to locate CANSLIM-
style
> > small-caps. (MSN has an advanced one, free and powerful. Major
> > brokerages have them, too, for customers.) Second, I eliminate
foreign
> > issues from this list, keeping only domestic ones. I
also "eyeball"
> > all the charts, eliminating stocks with uptrends that are
> > clearly "broken" but somehow sneaked past the initial screen,
anyway.
> > Third, I *randomize* the list by putting it in alphabetical order
by
> > ticker symbol. Finally, I choose the first 6 stocks on the list,
and
> > that's the portfolio I work with. Each issue gets an equal
dollar-
> > amount of money invested.
> >
> > I swing in and out of the portfolio (long only) using a moving
average
> > of the equity as a "buy" area when the general market (SP500 as
proxy)
> > is strong, and use a discretionary exit, i.e., I think the trade
has
> > made me as much as it's likely to on this particular upswing.
> >
> > Since the beginning of the year I've hit three wins on three
round-
> > trips, up about 14%. (Not a brag, because humiliation is only
one
> > trade away for us all, just pointing out the potential,
considering
> > that the SP500 and other major indices are still down for the
year.)
> >
> > I don't do any position-sizing, and just trade the portfolio as
if it
> > was my own personal index. Only having 6 stocks might not seem
like
> > enough diversification, but it works surprisingly well.
> >
> > FWIW.
> >
> >
> > Sebastian
> >
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@> wrote:
> > >
> > > I was wondering if anyone has any experience with trading the
equity
> > > curve itself as part of a system. In particular, I was looking
for
> > > feedback on approaches to being above or below the curve - did
you
> > > reduce/increase position sizes or the number of positions?
What have
> > > you found to be affective?
> > >
> > > Any feedback greatly appreciated - obviously I don't want or
expect
> > > anyone to give away a great system, but I thought it might be an
> > > interesting topic for a general discussion.
> > >
> >
>
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