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<DIV>Guy:</DIV>
<DIV> </DIV>
<DIV>Couldn't help but stick my nose into a semi-private discussion;
sorry. Your money management system is like the martingale
style systems often used in negative expectation games like roulette.
The general theory is, every time a person suffers a loss, they double up (or
some smaller ratio) on the next trade because eventually there <EM>will </EM>be
a win and they come out ahead.</DIV>
<DIV> </DIV>
<DIV>The problem with martingales is precisely what your brother
experienced. A loss or series of losses is a mathematical
certainty, and the amount risked will eventually reach the ceiling -- be it
the "house limit", the extent of the investor's capital, or the investor's
psychological threshold. As soon as the investor reaches this
ceiling, the system collapses and they suffer a catastrophic loss. With a
martingale, the investor will <EM>always </EM>eventually go bust -- even
with a positive mathematical expectation trading system.</DIV>
<DIV> </DIV>
<DIV>For a positive expectation system like your trading system (90% expectancy
of a win), a small antimartingale system might be more appropriate. That
is, risk more after a win and less after a loss. As long as you risk
less than 100% (with some trading systems, much less) of your capital on each
trade, you will recover from a large loss or series of losses.</DIV>
<DIV> </DIV>
<DIV>Regards.</DIV>
<DIV> </DIV>
<BLOCKQUOTE
style="BORDER-LEFT: #000000 2px solid; MARGIN-LEFT: 5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px; PADDING-RIGHT: 0px">
<DIV><FONT color=#0000ff face=Arial size=2><SPAN class=440451500-25081999>Now
we start with an opening position of just 25% of our capital and if the trade
goes against us, add to our position to average out our costs. This has
worked quite well lately and we have eliminated using stops.
Occasionally, we make a mistake, like my brother just made, where we have too
many contracts because we over bought on the way down and had to take a loss
on some of them (or make a margin call which we try never to
do</SPAN></FONT></DIV></BLOCKQUOTE></BODY></HTML>
</x-html>From ???@??? Wed Aug 25 11:56:33 1999
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From: "John Sellers" <ay286@xxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Subject: RE: Off-topic C++
Date: Wed, 25 Aug 1999 10:47:42 -0700
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<DIV><FONT color=#0000ff face=Arial size=2><SPAN class=890165016-25081999>I
submit my findings from a text book "The Commodity Futures Game" 1969 edition by
Richard J. Teweles, Charles V. Harlow and Herbert L. Stone. It discusses the
probability of ruin. Basically the mathematics of probability imply that the
probability of ruin decreases as the employment of percentage of your
capital decreases in trading and for the number of trades
increases the ruin probability decreases. These figures are given fin each
table for a particular probability advantages to win. </SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=890165016-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN class=890165016-25081999>For
instance: N=number of trades, P=number of trades versus an advantage of 65% the
following numbers are taken from a table 10-3 page 260 of their book. These
figures are from a table constructed for a 65% advantage win
number.</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=890165016-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=890165016-25081999>N=
0
10 20
30
40
50 60
70
80 90
100</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=890165016-25081999>P= .9865 .9140 .7384
.4862 .2485 .0949 .0262
.0048 .0005 .0000 .0000</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=890165016-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN class=890165016-25081999>P is
stated to be: Probability of more than p percent unsuccessful trades with an
probability of .65 of winning ((30% advantage). The table confirms the
employment percentage of your total capital (in my opinion) should less than 5%
of ones capital. My interpolation is as you increase the parameters for success
using smaller percentage capital and increasing the number of trades, you
approach 100 % success but the probability of ruin always is present to some
extent thus the level of money management is determined by each trader's to fit
his own comfort range.</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=890165016-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN class=890165016-25081999>The
formula used is: R= ((1-A)/(1+A)). R is probability of ruin and A is the trading
advantage.</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=890165016-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN class=890165016-25081999>The
book has included a reference William F. Feller, An Introduction to Probability
Theory and its Applications, John Wiley & Sons, New York, 1957. A good
source of probability theory is Samuel Goldberg, Probability: An Introduction,
Prentice-Hall, Englewood Cliffs, NJ, 1960.</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=890165016-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN class=890165016-25081999>I am
not trading commodities so can not submit experience with this approach, have
only studied this subject. Obviously it should be a consideration in ones
trading or investing approach in general.</SPAN></FONT></DIV>
<BLOCKQUOTE
style="BORDER-LEFT: #0000ff 2px solid; MARGIN-LEFT: 5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px">
<DIV class=OutlookMessageHeader><FONT face="Times New Roman"
size=2>-----Original Message-----<BR><B>From:</B>
owner-metastock@xxxxxxxxxxxxx [mailto:owner-metastock@xxxxxxxxxxxxx]<B>On
Behalf Of</B> Guy Tann<BR><B>Sent:</B> Tuesday, August 24, 1999 5:49
PM<BR><B>To:</B> metastock@xxxxxxxxxxxxx<BR><B>Subject:</B> RE: Off-topic
C++<BR><BR></DIV></FONT>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN class=440451500-25081999>An
overly long reply to Dan and I would have sent it off the newsgroup but didn't
have his address...... so my apologizes to the group.</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=440451500-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=440451500-25081999>Dan</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=440451500-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN class=440451500-25081999>I
started trading futures when I was in my teens. My dad has been a trader
for over 60 years now. My first job after graduating from college was
with IBM as a systems engineer, so I recognized the applicability of computers
to the kind of trading we did. I originally programmed our systems in
COBOL on a mainframe in 1963-4. Also used time-sharing and Basic.
Moved over to micros about 1973 I think (before Apple and before IBM got into
PCs).</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=440451500-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN class=440451500-25081999>Have
been running on microcomputers ever since.</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=440451500-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN class=440451500-25081999>Our
systems have constantly evolved over the years. Years ago, before
everybody had a computer, our stuff worked for longer periods of time.
We're just trading the S&P futures now and are using a system that has
worked for the last 15 years, so we feel pretty confident with it.
Unfortunately, we were late getting into money management and were constantly
going broke since we did a lot of reinvesting profits (read that
pyramiding). Even with a system that's 90% right, the way we traded we
had a 100% certainty of going broke.</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=440451500-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN class=440451500-25081999>Our
system is strictly statistical (mathematical). All home grown over the
last 40 to 50 years. Right now, we're trying to apply money management
techniques to our trading and being a lot more cautious in our approach.
Better to be slow but sure than to take a quick role of the dice and then have
to start over.</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=440451500-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN class=440451500-25081999>We
have our own indicators that we use and since we don't really use any of the
indicators in MetaStock it's hard to relate what we do, other than to say that
we tie everything back to price action and don't use volumes or open
interest. That's just us, as I know there are a lot of good systems out
there that do use these other inputs.</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=440451500-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN class=440451500-25081999>With
regard to the number of decimal places we carry, the answer is 4 for the most
part. In certain instances where it doesn't make any sense to carry
decimals, we don't. You recommended copying a MS calculation result over
to Excel. How would you do this? Can I just highlight it in the
data window, do a copy and then a paste into an Excel spreadsheet? I'm
going to have to try to figure this out, but right now feel very uncomfortable
being unable to duplicate my results in 3 other languages. TAS, by the
way, is not a Microsoft language. It's a DOS based language available
over the Internet. Clipper is also DOS based (at least the version I use
is) and is now owned by Computer Associates. I don't know whether
they've ever made the transition over to a Windows environment or not.
</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=440451500-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN class=440451500-25081999>As
to whether it makes money or not, I have to answer yes with a comment.
The system works great. It's the turkeys trading it that lose
money. Now we're doing fairly well, but that's just since we started
this money management stuff. We usually average about 20 to 30% return
per month and under our old trading methodology, in about the 6th to 8th month
give it all back and started over. <G> Now we start with an
opening position of just 25% of our capital and if the trade goes against us,
add to our position to average out our costs. This has worked quite well
lately and we have eliminated using stops. Occasionally, we make a
mistake, like my brother just made, where we have too many contracts because
we over bought on the way down and had to take a loss on some of them (or make
a margin call which we try never to do). Since then, the market has
corrected, so we have an even bigger profit (than the aforementioned
loss) on our existing positions. He just got a little to
ambitious.</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=440451500-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=440451500-25081999>Anyway, that's what we do. Our system is quite
good at picking market tops and bottoms (even though we don't know it at the
time) but lately we're experiencing large drawdowns due to market
volatility. In our last 3 series of trades, we had unusually large
drawdowns, but in all three cases the market turned around and came back to
make a profit. We're currently long, but our Intermediate Signal went
bearish several days ago while our short term signal stayed bullish. We
stayed with the long side and sat out the drop and now the climb. When
they both turn in the same direction, watch out.</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=440451500-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=440451500-25081999>Regards</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=440451500-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=440451500-25081999>Guy</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=440451500-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=440451500-25081999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff face=Arial size=2><SPAN
class=440451500-25081999></SPAN></FONT> </DIV>
<DIV class=OutlookMessageHeader><FONT face="Times New Roman"
size=2>-----Original Message-----<BR><B>From:</B>
owner-metastock@xxxxxxxxxxxxx [mailto:owner-metastock@xxxxxxxxxxxxx]<B>On
Behalf Of</B> Daniel Martinez<BR><B>Sent:</B> Tuesday, August 24, 1999 2:22
PM<BR><B>To:</B> metastock@xxxxxxxxxxxxx<BR><B>Subject:</B> Re: Off-topic
C++<BR><BR></FONT></DIV>Guy, <BR>not sure what you are referencing when you
mention +/- 10 or 8 indicator. Do you mean 10 or 8 digits of
accuracy? Looked in MicroSoft's BookShelf 99 for "TAS" and searched the
Net but couldn't find any reference.
<P>It sound like you have been programming stock database routines for some
time. If you don't mind my asking, have you made profits using this type
of programming? It seems like it would take a long time to set up.
<P>Just for your info, that EBAY page you gave is also for the Academic
version. As for me, I'm not sure I want to go beyond the MetaStock/Excel
combo. Maybe later I'll get VC++ or Builder, after I become an expert at
TA. More likely I'll build a tradestation (no pun intended) here with 4
monitors, perhaps L2, and trade short-term moves. Have already decided
on the hardware to use.
<P>Daniel. <BR> <BR>
<P>Guy Tann wrote:
<BLOCKQUOTE TYPE="CITE"><SPAN class=540412402-24081999><FONT
face=Arial><FONT color=#0000ff><FONT size=-1>My problem is that MetaStock,
while now able to perform all of my calculations, does it with less
precision than other languages. For the most part, everything looks
fine until we get to a +/- 10 indicator in our original calculations.
MS only calculated a value of + or - 8 (two out of the last three
occurrences), which has a material impact on our system. Because of
some of MS' limited computational capabilities, some of us are evaluating
other programming languages.</FONT></FONT></FONT></SPAN><SPAN
class=540412402-24081999></SPAN><SPAN class=540412402-24081999><FONT
face=Arial><FONT color=#0000ff><FONT size=-1>I'm looking at buying Visual
Studio 6.0 Professional over eBay which will provide me with VB 6.0
Professional as well as Visual FoxPro as well as a bunch of other languages
(C++ being one of them) that I won't use. Since system currently runs
under TAS, MetaStock, Clipper, and Excel, I have to convert it over to a Y2K
compliant environment. I had hoped that MS for Windows would have been
able to handle my requirements.</FONT></FONT></FONT></SPAN><SPAN
class=540412402-24081999></SPAN><SPAN class=540412402-24081999><FONT
face=Arial><FONT color=#0000ff><FONT size=-1>My old Clipper and TAS programs
are not Y2K compliant and MetaStock doesn't provide me with accurate
calculations. That leaves me with Excel and other languages. I
have everything currently programmed in Excel except the MS File Library
link. </FONT></FONT></FONT></SPAN><SPAN
class=540412402-24081999></SPAN><SPAN class=540412402-24081999><FONT
face=Arial><FONT color=#0000ff><FONT size=-1>With regards to Borland Builder
Pro v4, you need to make sure that you can use it with the MS Library DLL
that provides you access to Equis'
database. </FONT></FONT></FONT></SPAN><SPAN
class=540412402-24081999></SPAN><SPAN class=540412402-24081999><FONT
face=Arial><FONT color=#0000ff><FONT size=-1>Walter and I were discussing VB
and VBA which does support the MS DLL. Walter has done a lot of work
with Excel and VBA and has posted a ton of information here in that
regard. I, unfortunately, haven't had time to look at it, but will as
soon as the kid starts back to school. Right now, I've settled on VB,
Excel using VBA or Visual FoxPro(since our Clipper is a xBase system).
I'm trying to figure out how to use Excel with VBA because that will
minimize any coding I have to do. On the other hand, this will limit
systems testing as I won't have all of my intermediate calculations readily
available in the
database.</FONT></FONT></FONT></BLOCKQUOTE></BLOCKQUOTE></SPAN></BODY></HTML>
</x-html>From ???@??? Wed Aug 25 13:10:22 1999
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From: "Lionel Issen" <lissen@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
References: <014401beee92$9be71080$9b28cfa9@xxxxxxx> <4.1.19990825112509.02c70ed0@xxxxxxxxxxxxxx>
Subject: Re: Off-topic C++ and TAS
Date: Wed, 25 Aug 1999 14:18:11 -0500
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Status:
Alain:
I have the same problem as you. The TFP formula language is difficult to
apply and to check. the TAS language is very easy, and Moore distributed
any new scripts (formulas) that were sent to him.
Apparently Moore and Equis had a falling out a few years ago and Equis will
not have anything to do with him. Its a pity bcause this kind of program,
TAS, would make Metastock a serious competitor for higher end (more
expensive) programs. The scans in Quotes Plus are not as easy to use or to
develop as the scripts in TAS. I have also found that many of the scans in
QP give poor results and lack adequate explanations.
Regards
Lionel
----- Original Message -----
From: Alain Jossart <Alain.Jossart@xxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Wednesday, August 25, 1999 5:22 AM
Subject: Re: Off-topic C++
>
> They can hardly compared today (TAS hasn't be updated for years and was
> never ported to Windows). At that time (years ago) I tested both and
> decided for TAS, both tools were available in Dos versions only.
>
> TAS is a real programming language offering a TA library. It's that and
> just that. Who cannot program cannot use TAS, so simple. Hence the
learning
> curve and... the outstanding power.
>
> TFP on the other hand offered more prebuilt functions. It was the
efficient
> scanner of my club's TA labs. The reason it never passed my own selection
> process is my brain showed a severe allergy to the formula language below
:
>
((V/VX19)*(((H+L+2*C)>=TY1)+((H+L+2*C)<TY1)/(.375*((H+L+2*C)+TY1)/((M2-LN2)
X
> 19))*((H+L+2*C)Y1-(H+L+2*C))/(H+L+2*C))U10))X19
>
> Therefore, I would argue that TFP wasn't and ins't a good alternative to
> TAS. The closest (offer) IMHO is a real programming language (like
VB/VBA)
> + a TA programming library.
>
> Alain
>
> At 12:06 25/08/99 +0007, bspark@xxxxxxxxxxxxxxxxxx wrote:
> >I second Craigs suggestion Technifilter is an outstanding program
> >with much power in the system testing, and reporting facilities
> >
> >Regards
> >
> >Benzie
> >
> >> Tas was (is?) a dos-based program that would run rings around
MetaStock in
> >> System testing (it actually tested across multiple stocks) and
> >> explorations at the time. Martin Moore of Dublin, CA was the software
> >> writer and owner. Used to have a website www.flexsoft.com. Don't know
if
> >> it's still there. Warning - it did take some learning to get to know
to
> >> use the language. These days a better choice is likely TechniFilter
Plus.
> >> ----- Original Message -----
> >> From: Daniel Martinez
> >> To: metastock@xxxxxxxxxxxxx
> >> Sent: Tuesday, August 24, 1999 4:22 PM
> >> Subject: Re: Off-topic C++
> >>
> >>
> >> Guy,
> >> not sure what you are referencing when you mention +/- 10 or 8
> >> indicator. Do you mean 10 or 8 digits of accuracy? Looked in
> >> MicroSoft's BookShelf 99 for "TAS" and searched the Net but couldn't
> >> find any reference. It sound like you have been programming stock
> >> database routines for some time. If you don't mind my asking, have
you
> >> made profits using this type of programming? It seems like it would
> >> take a long time to set up.
> >>
> >> Just for your info, that EBAY page you gave is also for the Academic
> >> version. As for me, I'm not sure I want to go beyond the
> >> MetaStock/Excel combo. Maybe later I'll get VC++ or Builder, after
I
> >> become an expert at TA. More likely I'll build a tradestation (no
pun
> >> intended) here with 4 monitors, perhaps L2, and trade short-term
moves.
> >> Have already decided on the hardware to use.
> >>
> >> Daniel.
> >>
> >>
> >>
> >> Guy Tann wrote:
> >>
> >> My problem is that MetaStock, while now able to perform all of my
> >> calculations, does it with less precision than other languages.
For
> >> the most part, everything looks fine until we get to a +/- 10
> >> indicator in our original calculations. MS only calculated a
value of
> >> + or - 8 (two out of the last three occurrences), which has a
material
> >> impact on our system. Because of some of MS' limited
computational
> >> capabilities, some of us are evaluating other programming
> >> languages.I'm looking at buying Visual Studio 6.0 Professional
over
> >> eBay which will provide me with VB 6.0 Professional as well as
Visual
> >> FoxPro as well as a bunch of other languages (C++ being one of
them)
> >> that I won't use. Since system currently runs under TAS,
MetaStock,
> >> Clipper, and Excel, I have to convert it over to a Y2K compliant
> >> environment. I had hoped that MS for Windows would have been able
to
> >> handle my requirements.My old Clipper and TAS programs are not Y2K
> >> compliant and MetaStock doesn't provide me with accurate
calculations.
> >> That leaves me with Excel and other languages. I have everything
> >> currently programmed in Excel except the MS File Library link.
With
> >> regards to Borland Builder Pro v4, you need to make sure that you
can
> >> use it with the MS Library DLL that provides you access to Equis'
> >> database. Walter and I were discussing VB and VBA which does
support
> >> the MS DLL. Walter has done a lot of work with Excel and VBA and
has
> >> posted a ton of information here in that regard. I,
unfortunately,
> >> haven't had time to look at it, but will as soon as the kid starts
> >> back to school. Right now, I've settled on VB, Excel using VBA or
> >> Visual FoxPro(since our Clipper is a xBase system). I'm trying to
> >> figure out how to use Excel with VBA because that will minimize
any
> >> coding I have to do. On the other hand, this will limit systems
> >> testing as I won't have all of my intermediate calculations
readily
> >> available in the database.
> >>
> >
> >
> >************************
> >Brightspark
> >sales@xxxxxxxxxxxxx
> >Voice: +61 9 375-1178
> >Fax: +61 9 375-1668
> >Unit 7, 11-13 Marchant Way
> >Morley WA 6062 Australia
> >Visit our WEB Page
> >http://www.bspark.com.au
> >************************
>
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