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Sebastian,
if you are talking about the "System Equity Curve" (SEC) which you
want to trade then your asumption is wrong, the SEC is the "untraded"
reference curve with your system always in the market and unbiased.
What is a straight line is the "Real Equity Curve" after you have
traded the SEC.
Regards,
Markus
--- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia"
<sebastiandanconia@xxx> wrote:
>
> I plot the portfolio equity curve as if I was always in. But now
> that you bring it up, it does raise the question of whether this is
> equity curve trading or simply trading my own personal "index." Not
> sure if this is just a semantic issue or a real one, since, as you
> point out, if you're not in the market the curve is a straight line
> and how do you trade that?:)
>
>
> Sebastian
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@> wrote:
> >
> > Ok - got you - yes, I'm looking at the same thing. So here's the
> > question: if you're not in the market, isn't the curve just a
> straight
> > line? How are you altering your trading?
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia"
> > <sebastiandanconia@> wrote:
> > >
> > > 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@> 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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