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I am working on money management that is "integrated" into TS.
Through a sort of push-op interface all buy/sell signals are fed into a
global databank.
Now MM is calculated and updates the global data with contract sizes, by
refreshing the systems they will now reflect the sizes as caculated by the
MM and more importantly they will caculate "real time" how many
contracts/shares on upcoming trades (all incorporated into the same
strategy!)..
The nice idea would be that the MM system can be build in Easylanguage !
Not much if you trade only one system, but on a combination of systems the
MM should decrease the # of contracts when a system begins to "fall apart"
(or when it looks that way).
It should also increase succesfull system.
Now the game starts all over again, you now have to caculate how to
"distribute" your account among the many systems that are traded.
Anybody who can help me with / has experience with MM algorithems (secure f,
optimal f etc.).
Robert
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Robert Linders
Orlando, FL
email: mugsnug@xxxxxxxxx
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----- Original Message -----
From: "Mike Higgs" <moongateca@xxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Wednesday, November 28, 2001 5:31 PM
Subject: Re: Will "trade" my great tradingsystem
> Gary,
>
> > In my testing of this idea, I found it useless for any system I would
> > consider trading.
> >
> > The problem is, you take all the losses that pull the equity curve
> > down below your threshhold. But then you stop trading, and you DON'T
> > take the wins that dig you OUT of the drawdown! The net was negative
> > for most systems I looked at.
>
> Well, I guess another option is to have deep pockets and extreme
confidence
> that your system hasn't derailed.
>
> How do you deal with a string of losses? I'm not talking about filters.
> They are fine in testing but reality is another thing. At what point do
you
> say that the system has a problem.
>
> Regards,
> Mike
>
>
>
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