I have read and am re-reading the book and find it of immense value and certainly worth the price. The ideas presented in the book on Expectancy, Standard Deviation of R-Multiples and System Quality Number (basically the t-score) are very interesting. Even more interesting is the idea of performing a Monte Carlo on the R- Multiples obtained in backtesting to really get an idea what the system may (statistically speaking) do in the future vis a vis losing streaks and drawdowns. I am not much of a coder and would really appreciate if anybody would post on the subject their experiences of incorporating Expectancy, Standard Deviation of R-Multiples and System Quality Number in the backtesting results.
Would also appreciate if anyone has explored the means and methodology for doing a Monte Carlo on R-Multiples of the trades generated in an AB Backtest. I know the R-Multiples, Standard Deviation and SQN can be worked out in Excel. It's the MC testing that I would like help with. Cheers Raj --- In [email protected], "Steve Dugas" <sjdu...@...> wrote: > > Thanks Howard, much appreciated - I would like to get a glimpse of your library! 8 - ) > > Steve > ----- Original Message ----- > From: Howard B > To: [email protected] > Sent: Sunday, January 18, 2009 8:32 PM > Subject: Re: [amibroker] OT - Van Tharp Book > > > Hi Steve -- > > I have read it. There is some overlap between the content of this book and Tharp's earlier book, Trade Your Way to Financial Freedom. And a lot of the material in Definitive Guide can be found in Ralph Vince's four books, as well as other books on trading, position sizing, and risk. But there is some new material, and some thought-provoking comments about risk and position sizing. > > You can read the entire Table of Contents and Preface here: > http://www.iitm.com/Table-of-Contents-Definitive-Guide.pdf > > I get most of the trading books that are published. I keep some and return or sell some. I paid retail price for my copy, and I'll keep this one. The biggest drawback is the high price (about $145). And shipping is apparently handled by a contract agent who charges way too much (about $15) for service that is not very fast. > > Thanks, > Howard > > > > On Fri, Jan 16, 2009 at 9:40 AM, Steve Dugas <sjdu...@...> wrote: > > > Hi - I was just wondering if anyone has read Van Tharp's new book > "Definitive Guide to Position Sizing" > and if you think there is enough new material there to justify buying it? > > Thank you for any opinions. > Steve >
