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Ah, Volker, I knew you would post exactly this response.
I am aware that WealthLab can do this kind of back testing. I suspect
Trading Recipes can also. But you should read my posts more carefully. I
said, "What I describe above is only the start of the capabilities of the
scaling feature I am working on.".
I was responding to a post that said this kind of testing could be done in
TradeStation, which is not true. I didn't mean to challenge WealthLab in my
response. I made no mention of WealthLab.
I intentionally picked a simple example that would not give you, Volker,
hints on what is better about the PowerST implementation :-). My
understanding is that the more complex strategies I am working on cannot be
done by WealthLab. Please refer to my previous post, from early morning
5/19/03. This is repeating the same topic. That post had more detail.
Let me anticipate your response. You are going to ask for details about
what is better with the PowerST implementation. Then I am going to respond
that I would rather discuss that later. After all, I haven't even finished
the feature yet.
Then someone else is going to say, "Well then, why are you talking about
this scaling feature when it isn't even finished yet". My response will be
that I only mentioned it as a status update about why PowerST has been
silent recently. Then, Volker and others responded with questions and
challenges.
Bob Bolotin
President, RDB Computing, Inc.
Developer of "PowerST: The Power System Tester"
http://www.powertesting.com
bob@xxxxxxxxxxxxxxxx
847-982-1910
At 5/21/2003 02:45 PM, you wrote:
Hallo.
I actually wanted to stop the discussion about it, but since the
interest is there and people might get the impression that I keep quite
because Wealth-Lab is not able to perfom these kind of tests I have to
come back on the subject again. WLD2 is able to do this kind of back
testing!
Regards.
Volker Knapp
Wealth-Lab Inc.
www.wealth-lab.de
www.wealth-lab.com
-----Ursprüngliche Nachricht-----
Von: trader@xxxxxxxxxxxx [mailto:trader@xxxxxxxxxxxx]
Gesendet: Mittwoch, 21. Mai 2003 09:21
An: omega-list
Betreff: Re: TS alternatives, and more about scaling strategies
----- Original Message -----
From: "Bob Bolotin" <bob4olist@xxxxxxxxxxxxxxxx>
> Say your system uses a trailing stop. As a
> trade moves profitable, the trailing stop will eventually reach the
trade
> entry price. Your risk on that trade is now $0 (of course, this is
> discussion is excluding slippage). So, here is an interesting idea.
Since
> you were willing to risk 5% on the initial trade you could consider
adding
> more contracts to the trade at this break even point and bring your
current
> $0 risk back up to the 5% of account level.
It's an intresting idea and i believe to remember that Tharp in his
Money Management report talked about it also.
I would be very curious what it would do with the results of a
system. It would be very clear from the start, that this kind of
money management would increase the loosers since every time
you are at a "risk of $0" you increase the risk again. It would
probably mean that you would need some very big winners
to overcome the many losses you would have.
If at some point in time, your program is capable of doing
backtests like this, i think this list would be intrested in some
of the results. I know i would be.
Greetings
and thanks in advance.
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