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One of the most key aspects of professional money management is position
sizing. It must be calculated according to the market volatility to get
controlled runups and drawdowns relative to a given account size.
A trading system simulation must also do this if it's going to come anywhere
close to approximating reality, especially in the case of the SP where the
volatility now is about 20 times what it was in the 80's (so obviously you'd
trade 1/20 the size now as you would back then for a given account size).
Try something in your system like "num_cont=
(factor*acct_size)/(xaverage(truerange,50)*BigPointValue);"
Note that Rina does not allow you to do such a basic and important thing,
and therefore any results it gives you are highly suspect. Strange, since
Stendall makes such a point of convincing you he's a "professional".
Best rgds
Phil
----- Original Message -----
From: Chase Hardy <chardy@xxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Sunday, September 17, 2000 10:39 AM
Subject: Trading System Evaluation
> I'm looking into the possibility of acquiring an intermediate-term
position
> trading system. Two I'm looking at are Trend Reflection at
> www.trendreflection.com and T3 and www.art-t3.com
>
> Trend Reflection has been around a few years and I have spoken with a
number
> of customers and brokers who are using it with good results. T3 is
> relatively new and just starting to build a customer base. T3 sounds very
> good but doesn't yet have a real track record.
>
> The T3 folks provide reports from Rina Systems' Portfolio Evaluator as
> evidence of the profitability and smoothness of the equity curve of T3. I
> have requested the Trend Reflection folks to do the same with their
product
> using the same markets and inputs as T3.
>
> I was not previously familiar with Portfolio Evaluator (or the same
product
> marketed by Omega Research as Portfolio Maximizer) and am curious if this
> program will give you enough information to effectively determine the
better
> of two trading systems, all things being equal.
>
> I would appreciate any help anyone can give who has any knowledge of
either
> of these systems (or other potentially good systems) and using Portfolio
> Evaluator to evaluate trading systems.
>
> Thanks,
>
> Chase
>
>
>
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