> maybe it's just me but I think this is a great discussion.
You shouldn't say anything to encourage me!
> it's mandatory to take into account the chronological order of the >combined
> series of trades.
No it isn't.
As I said before, integrating BT with MM gives you a big headache.
First optimise, BT etc and select the best candidates, then apply MM.
Note that the criteria of selection for portfoio inclusion might be different
to that for selecting top 'trade alone' systems e.g. non-correlation might get
more weighting in the objective function.
Optimal f money management uses only the mean and dispersion of the trades to
allocate funds and the order of the trades doesn't make any difference ... mean
and dispersion are asymptotic ... order is random("History never repeats I tell
myself before I go to sleep at night" ... great Kiwi Band, "Split Ends" or
"Crowded House").
"The trend is my friend" is a tired cliche.
"The asymptotics are my friends", is much better.
--- In [email protected], "ang_60" <ima_c...@...> wrote:
>
> --- In [email protected], "Tomasz Janeczko" <groups@> wrote:
> >
> > Hello,
> >
> > The main problem is not technical but "human" - i.e. I guess that everyone
> > that would be interested, would like to have rebalancing implemented
> > differently.
> > The devil is always in the details.
> >
> > So, let us discuss *your* preference. Let assume the following:
> >
> > a) we have 2 systems, and initially system A gets 60% of initial equity
> > and system B gets 40% of initial equity
> >
>
>
> Hi everybody,
>
> maybe it's just me but I think this is a great discussion.
>
> Just some thoughts:
>
> 1) when you use just "one equity pool", you don't assigne X% of capital to
> system A and Y% of capital to System B: so, there's no need to rebalance
> anything.
>
> You start applying position sizing rules to your entire capital as soon as
> Sistem A, B, .... N gives you a signal.
>
> You need to rebalance only when you start dividing your trading capital from
> the N system which - I concur wuth Hicks - is a less efficient way to use
> your money (providing both your systems have positive expectation)
>
> 2) That's the very same reason you cannot simply add N equity curve to do
> portfolio testing.... because when mixing in one account (as in the real
> life) signal from system A and system B AND increasing trading size with the
> closed profits, it's mandatory to take into account the chronological order
> of the combined series of trades.
>
> 3) Hicks, I'm pretty sure Graham can do it (provided you don't want to run
> system A on database A and System B on database B.... ).... but if you are a
> bit like me (I'm not a programmer turned trader..... I'm an investor that
> thinks his daytime is better spent when I'm not programming.... ) maybe you
> will find his code a little complicated, would any further manipulation be
> needed from you.
>
