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Hi Sebastian,
in short words, "Equity-Curve Trading" means that the decision if you
enter or exit a trade is not only based on the chart of an individual
stock, but the additional decision criteria is the curve of your
current portfolio equity. As your real portfolio equity becomes flat
if you go out of the market you need an other equity curve which shows
the behaviour of your trading system also in case you are not in the
market. This is what I called the system equity curve, it is
calculated under the asumption that you are always in the market which
is the condition that you can trade it.
Regards,
Markus
--- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia"
<sebastiandanconia@xxx> wrote:
>
> 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@> 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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