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Jose -> excellent definition of ¡¥Quant¡¦. I think your
definition is more appropriate, than the one found on
the web ļ
rvalue1 -> I have been studying the work of Van Tharp
for quite some time now and I am greatly influenced by
him. What I have understood so far, about the meaning
of ¡¥Position Sizing¡¦ is , its merely the max amount,
you are willing to lose on a trade. Ideally you
should risk (that is in worst case lose) 1% of your
trading total capital on a individual trade. To risk
2% means you are risking a lot and anything equal to
or more than 3% is nothing but a ¡¥Financial Suicide¡¦.
So there is no such thing as taking trade in direction
of trend and stepping up the position size as
Positions is dependant on only one factor and that is
your available Trading Capital.
Warm Regards,
Jay
--- Jose Silva <josesilva22@xxxxxxxxx> wrote:
> Definitions of quant found on the Web:
>
> A quant is a person who is mathematical by training
> or inclination and
> applies various numerical approaches in analyzing
> or trading securities or
> markets.
>
> A quantitative analyst is a person who works in the
> financial markets
> developing mathematical models to assist the
> activities of traders and
> risk managers within banks and other large corporate
> institutes.
> Throughout the industry, such professionals are
> known as quants.
>
>
> My definition of quant:
>
> A loose term thrown about at cocktail parties and
> forums to impress girls
> and newbies, usually by a person or persons who have
> little idea about the
> most basic of mathematical applications, and have
> little or no clue about
> the psychological nature of the markets. ;)
>
>
> jose '-)
> http://www.metastocktools.com
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "rvalue1"
> <rvalue1@xxx> wrote:
> >
> > Super - I have a simple question. What exactly is
> meant by "quants" ?
> > Any good references for understanding that better?
> Is an upgrade
> > type system based on past performance also quants?
> I will Google
> > this and look into it.
> >
> > Secondly, I am taking a closer look at position
> sizing. Reading
> > Tharp's book and Chapter 12.. am sold on
> anti-martingale strategies.
> > Would appreciate a reference or two on this
> subject from you and
> > others. I know this topic has been thrashed around
> here, and I have
> > begun looking through the old posts and links..
> > - If one took trades in the direction of the
> trend, and stepped up
> > the position size through "confirmation" signals
> as the stock moved
> > higher, that appears to me the most sound
> approach, In other cases,
> > take a starting position an if the trend breaks
> down right away,
> > your loss is still small. Comments?
> >
> > Regards,
> > --- In equismetastock@xxxxxxxxxxxxxxx,
> superfragalist <no_reply@>
> > wrote:
> > >
> > > Unfortunately, Preston, the thinking in this
> excerpt, while
> > exactly on
> > > the money, is almost totally disregarded by
> newbie's. It's not
> > > promoted by the guru's because this kind of
> thinking goes against
> > the
> > > get rich quick mentality that helps sell their
> books, services and
> > > systems.
> > >
> > > As many of the articles in Roy's newsletter have
> pointed out, if
> > the
> > > universe of stocks is rigorously screened with
> fundamentals and
> > quants
> > > prior to applying TA, finding a method of
> trading from that group
> > is
> > > infinitely easier, much more profitable and
> substantially more
> > > consistent than screening stocks based on TA.
> > >
> > > I just did a series of systems tests on Value
> Line data back to
> > 1998.
> > > (Thank you very much, Cameron, for assisting
> with the data. I hope
> > you
> > > got the material I sent to you.) The tests were
> based on using two
> > > methods of trading the list of stocks. The first
> method was a
> > simple
> > > trend system based on a pre-trend signal and
> then the making a new
> > > highs within 30 days of the pre-trend signal.
> The second method of
> > > trading was simply taking stocks that had been
> placed on the list
> > > sometime during the year, but that were in an
> extended pullback of
> > > several weeks. Trades were based on the stock
> having been in the
> > > pullback period a set amount of time and then
> breaking out of the
> > > pullback based on a couple of basic trend
> indicators.
> > >
> > > Half of the capital account was dedicated to
> each method. For the
> > nine
> > > years of the test 1998 to 2006, the average
> return was 15.8%. The
> > std
> > > dev was only 7.9% with an average of around 50%
> winning trades and
> > > drawdowns of less than 3%. This is amazing
> consistency for a
> > > mechanical system, especially when the roller
> coaster time frame is
> > > taken into consideration.
> > >
> > > During the nine year period from 1998 to 2006
> none of the years had
> > > negative returns. Even in 2000, which was brutal
> to most traders
> > who
> > > thought they had the whole thing wired based on
> their 1998 and 1999
> > > returns, this combined system made 6.5%.
> > >
> > > Newbie's want to hear that a system is going to
> make them 80%,
> > 100% or
> > > more per year. They don't care about making
> money consistently,
> > just
> > > the huge year returns because that's the vision
> of sugar plums.
> > > Unfortunately, it's also a fairy tail.
> > >
> > > One benchmark I use is to compare private money
> manager returns to
> > my
> > > own systems. I look at futures traders, equity
> traders and bond
> > > traders. Annual return is not the only number
> that matters. I want
> > to
> > > see the volatility and the consistency in their
> methods.
> > >
> > > This system returned an average of 16.4% over
> the last 5 years
> > with a
> > > std dev of 9.4%. Comparing that to the pro's
> returns as I've
> > > described, those returns would have made any of
> them very popular
> > > money managers, especially when they didn't lose
> any money in
> > 2002.
> > >
> > > Based on my experience with this type of
> trading, my actual returns
> > > beat the mechanical test returns fairly easily.
> By looking at the
> > > charts, it is obvious when a buy signal is
> present but the chart
> > still
> > > looks weak. The application of discretionary
> logic in this case is
> > > easy and works very well to improve the system
> performance.
> > >
> > > There will be many readers of this post who will
> scoff at those
> > > returns. No problem. I know what the last nine
> years have been like
> > > and I know the value of consistency.
> > >
> > > Some readers of your forum will ask me to post
> the system, etc. I'm
> > > not going to do that. If there is enough
> interest in how this
> > simple
> > > but effective system works, send Roy an email
> asking him to run the
> > > test results and discussion as an article in
> MSTT,
=== message truncated ===
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