|
PureBytes Links
Trading Reference Links
|
I have read and am re-reading the book and find it of immense value
and certainly worth the price. The ideas presented in the book on
Expectancy, Standard Deviation of R-Multiples and System Quality
Number (basically the t-score) are very interesting. Even more
interesting is the idea of performing a Monte Carlo on the R-
Multiples obtained in backtesting to really get an idea what the
system may (statistically speaking) do in the future vis a vis losing
streaks and drawdowns. I am not much of a coder and would really
appreciate if anybody would post on the subject their experiences of
incorporating Expectancy, Standard Deviation of R-Multiples and
System Quality Number in the backtesting results.
Would also appreciate if anyone has explored the means and
methodology for doing a Monte Carlo on R-Multiples of the trades
generated in an AB Backtest. I know the R-Multiples, Standard
Deviation and SQN can be worked out in Excel. It's the MC testing
that I would like help with.
Cheers
Raj
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxx> wrote:
>
> Thanks Howard, much appreciated - I would like to get a glimpse of
your library! 8 - )
>
> Steve
> ----- Original Message -----
> From: Howard B
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, January 18, 2009 8:32 PM
> Subject: Re: [amibroker] OT - Van Tharp Book
>
>
> Hi Steve --
>
> I have read it. There is some overlap between the content of
this book and Tharp's earlier book, Trade Your Way to Financial
Freedom. And a lot of the material in Definitive Guide can be found
in Ralph Vince's four books, as well as other books on trading,
position sizing, and risk. But there is some new material, and some
thought-provoking comments about risk and position sizing.
>
> You can read the entire Table of Contents and Preface here:
> http://www.iitm.com/Table-of-Contents-Definitive-Guide.pdf
>
> I get most of the trading books that are published. I keep some
and return or sell some. I paid retail price for my copy, and I'll
keep this one. The biggest drawback is the high price (about $145).
And shipping is apparently handled by a contract agent who charges
way too much (about $15) for service that is not very fast.
>
> Thanks,
> Howard
>
>
>
> On Fri, Jan 16, 2009 at 9:40 AM, Steve Dugas <sjdugas@xxx> wrote:
>
>
> Hi - I was just wondering if anyone has read Van Tharp's new
book
> "Definitive Guide to Position Sizing"
> and if you think there is enough new material there to justify
buying it?
>
> Thank you for any opinions.
> Steve
>
------------------------------------
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
*********************
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
*********************************
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|