IMO, "money management, risk management and position-sizing" are all methods developed to help an individual combat the natural human tendency to act contrary to these methods. They are merely psychological cushions that serve to help us trust our own technical indicators when they take the random dip that they often take. The indicators are correct. At least, mine are... but it took 6 solid years of observational, visual testing to determine which ones to use, and none of this testing ultimately depended on optimization or backtesting.
~Bman --- In [email protected], "sebastiandanconia" <[EMAIL PROTECTED]> wrote: > > I'm seeing interesting backtest results related to this. > > What I did was take a group of stocks (that I had pre-screened for > certain minimum RS and fundamental criteria) and allocate them into 2 > sets of portfolios of six stocks each. In one set of portfolios I used > ranking based on RS and fundamentals to allocate stocks (top 6 in rank > went into Portfolio 1, second 6 into Portfolio 2, etc.). In the second > set of portfolios I allocated randomly using alphabetical order (first 6 > stocks in alphabetical order went into Portfolio 1, second 6 into > Portfolio 2, etc.). > > Intuitively, the portfolios based on rank should have been better > performers but it didn't seem to matter. I think that there's simply a > certain unavoidable amount of randomness about the way stocks will > behave that can't be accurately forecast, no matter how detailed the > pre-analysis is. > > That would explain why so many mutual fund managers with enormous > resources of fundamental and economic data, computing power, etc., can't > beat an unmanaged SP500 Index fund. It also lends credence to the idea > that consistently superior performance comes from the things over which > investors have direct control, like money management, risk management > and position-sizing. > > > S. > > > --- In [email protected], "Tom Tom" <michel_b_g@> wrote: > > > > To go on dicussion about random walk, nice article at the middle of > this > > page : > > > > http://www.duke.edu/~rnau/411georw.htm > > > > Combine: Random Walk and Prediction. > > Technical analysis... usefull ? Financial information ... usefull ? > Even > > illegal information (hidden to public) .. usefull ? Last one maybe. > Others, > > humm.... > > This is what about deals this article. > > > > For me, next theory could be a Chaotic Fractal Near-Random Walk... : > )) > > Chaotic : because spurious peak in the data wich can initiate further > > mouvment > > Fractal : year, month, day, hour, minute, sec... same patterns > > Near-Random Walk : Random Walk but predictable, because i don't think > price > > move randomly... > > If they move randomly... tehnical or fundamental analysis are useless, > so > > there is no mean to try to trade at all, (only to give commission to > the > > broker héhé). > > > > Seriously, from this article, what seems emerging from last years, is > that > > price is random walk, but volatility maybe not... It is well explained > in > > the article. Arch and Garch model are mentionned. > > Someone try this on AB ? Trade based only about volatility prediction > (so > > predict risk, and manage portfolio depending those prediction about > > volatility)... and so don't bother with the price random-walk ? > > > > > > Cheers, > > Mich > > > > _________________________________________________________________ > > Les révélations de la starac 6 commentées par Jérémy! > > http://starac2006.spaces.live.com/ > > >
