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Well, I'll just follow along while you guys discuss this.:) What
you're saying is over my head, I don't think I understand the
distinctions you're making.
Sebastian
--- In amibroker@xxxxxxxxxxxxxxx, "markhoff" <markhoff@xxx> wrote:
>
>
> 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@> 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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