Market Trader Forum

Fisch · Anmeldedatum: 02.09.2005 Beiträge: 1641

Meiner Meinung nach eines der besten Abhandlungen zum Moneymanagement!

http://www.tradesignal.com/content.asp?p=cmy/forum/thread.asp&site=1&board=36&thread=19304

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Fisch · Anmeldedatum: 02.09.2005 Beiträge: 1641

http://www.tradesignal.com/content.asp?p=cmy/forum/thread.asp&site=1&board=36&thread=17957

Fisch · Anmeldedatum: 02.09.2005 Beiträge: 1641

http://www.tradesignal.com/content.asp?p=cmy/forum/thread.asp&site=1&board=36&thread=18856

Fisch · Anmeldedatum: 02.09.2005 Beiträge: 1641

Abhandlung zu Initstops und Trailingstops!

http://www.tradesignal.com/content.asp?p=cmy/forum/thread.asp&site=1&board=36&thread=14549&page=1&size=10&sort=1&new=867674

Joram · Anmeldedatum: 17.08.2005 Beiträge: 2238

http://www.traderssoft.com/publications/mm/mm1/mm1.shtml
http://www.traderssoft.com/publications/mm/mm2/mm2.shtml
http://www.traderssoft.com/publications/mm/mm3/mm3.shtml
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Fisch · Anmeldedatum: 02.09.2005 Beiträge: 1641

Danke für die Links! Werde ich mir auf ansehen!

Fisch · Anmeldedatum: 02.09.2005 Beiträge: 1641

http://www.adaptrade.com/
System Analyzer

SwingManT · Verfasst am: 05.04.2006, 10:11

Link auf TradeSignal: / Thread: Van Tharp und Money Management

http://www.tradesignal.com/content.asp?p=cmy/forum/thread.asp&site=1&board=49&thread=20715

Paeda · Anmeldedatum: 02.03.2006 Beiträge: 305

Money Management Strategy - Fixed Contracts
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This method says : independent of the account state, always enter the position with the same number of lots. Although this method is fairy safe, it does not allow the account to grow in geometrical progression.

Example: you set Number of Contracts = 10 then you can buy at the most 10 contracts(shares).

Fixed Sum--------------------------------------------------------------------------------

This method says : independent of the account state, always enter the position with the same Sum. Although this method is fairy safe, it does not allow the account to grow in geometrical progression. If this strategy is selected, an equal dollar position size is established for each trade. The number of shares is determined by dividing the price of security into the desired position size.

Formula:

Number_of_shares = Fixed_Sum / Security_Price

Example:

Fixed Sum - 2000 $

Security Price - 20$

In this case you can buy 2000 / 20 = 100 shares

Percent of Capital-------------------------------------------------------------------------------

This option lets you scale position sizes based on changes to the overall Capital. You specify a percentage of available Capital that each position should take. This strategy allows for a geometric growth of capital because the size of your position grows in relation to the equity growth in your account. If you would like to trade more aggressively, you should increase the % of Capital to invest. The larger the percentage, the more potential profit as well as potential risk. More conservative investors may choose a smaller % of Capital.

Formula:

Number_of_shares = (Current_Capital * %_of_Capital / Margin) / Security_Price

Examples:

1. % of Capital - 20%

Margin Requirements % - 100%

Security Price - 20$

Current Capital - 25000$

In this case you can buy (25000 * 0.2 / 1) / 20 = 250 shares

2. % of Capital - 20%

Margin Requirements % - 25%

Security Price - 20$

Current Capital - 25000$

In this case you can buy (25000 * 0.2 / 0.25) / 20 = 1000 shares

Paeda · Anmeldedatum: 02.03.2006 Beiträge: 305

Optimal f--------------------------------------------------------------------------------

Optimal f (optimal fixed fraction) - method of estimating the optimal % of risk has been improved by Raplh Vince. Using the optimal f strategy, you can optimize your system for the variable f (with "f" being the amount of capital invested in each trade) so that your system achieves the highest net profit (or TWR as defined by R. Vince.) Optimal f is calculated the optimal value of f is independent of the order in which the trades take place. Changing the order or sequence of trades does not affect the final out-come. Most people think that the optimal fixed fraction is that percentage of your total stake to bet. This is absolutely false. To define how much shares you have to trade we use the next formula:

Number_of_shares = (Optimal_F * Current_Capital / starting_risk_per_unity_of_assets)/Security_Price

where starting risk = maximal loss at trade(in %).

Example:

Current Capital - 25000$

Security Price - 25$

Optimal f - 0.30 (it's calculated on the basis of the historical data)

Maximal Loss at trade - 50% (it's calculated on the basis of the historical data)

In this case you can buy (0.3 * 25000/0.5)/25 = 600 shares

Secure f--------------------------------------------------------------------------------

Leo Zamansky and David Stendahl tried to overcome large drawdowns Optimal f by adding a special limit of maximall allowable drawdown. Secure f solves a task :

Net Profit -> Max (similarly Optimal F) under condition Max_Drawdown <= Max_Allowed_Drawdown.

The difference between the Secure f and the Optimal f strategies is that in case of Secure f the drawdown will be taken into account. Value of Secure f can never be higher that the value of Optimal f.

Formula:

Number_of_shares = (Secure_f * Current_Capital / starting_risk_per_unity_of_assets)/Security_Price

where starting risk = maximal loss at trade(in %).

Example:

Current Capital - 25000$

Security Price - 25$

Max DrawDown - 20% (value of maximal allowed DrawDown)

Secure f- 0.10 (it's calculated on the basis of the historical data)

Maximal Loss at trade - 50% (it's calculated on the basis of the historical data)

In this case you can buy (0.1 * 25000/0.5)/25 = 20000/50 = 200 shares

Kelly's formula--------------------------------------------------------------------------------

This method defines the optimal percent of risk. Relatively to gambling and further, to stock trading was developed by professor Edward Thorpe. Kelly's method defines the percent of risk as

Kelly% = %win – %loss / (Avg_profit / Avg_loss )

Let's look at how the Kelly Criterion might work. Suppose you have a system that has a winning percentage 60%. Your system also has average profits that are twice as large as the size of your average loss. Thus, %win = 60%, %loss = 40% and Avg_profit / Avg_loss = 2. Kelly % = 60 - 40/2 = 40%

Thus, the percentage of equity bet that would provide a maximum rate of return is 40%.

Number_of_shares = (Kelly% * Current_Capital / starting_risk_per_unity_of_assets)/Security_Price

where starting risk = maximal loss at trade(in %).

Example:

Current Capital - 25000$

Security Price - 50$

Kelly - 0.20 (it's calculated on the basis of the historical data)

Maximal Loss at trade - 25% (it's calculated on the basis of the historical data)

In this case you can buy (0.2 * 25000/0.25)/50 = 20000/50 = 400 shares

During his record-breaking trading Larry Williams used the Kelly's formula where the starting risk was defined by the size of the margin per futures fontract. Thorpe recommends using % of risk within 0.5 * Kelly <= % risk < Kelly bounds.

Quelle: http://www.trader-soft.com/software/money-management-explorer.html

Rossi · Anmeldedatum: 17.08.2005 Beiträge: 830

Ich habe günstig das Buch "Money Management" von Jünemann und Heinz Imbacher erworben.
Ich wollte es gleich durcharbeiten, komme aber nicht dazu.

Das Buch enthält fertige Lösungen in Excel. Besteht Interesse daran?

Gruß

Rossi

Joram · Anmeldedatum: 17.08.2005 Beiträge: 2238

@Rossi

wisst Du das Buch verkaufen oder ausleihen?

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Rossi · Anmeldedatum: 17.08.2005 Beiträge: 830

@Joram

habe mich falsch ausgedrückt, ich dachte an die Excel Dateien.

Gruß

Rossi

Joram · Anmeldedatum: 17.08.2005 Beiträge: 2238

@Rossi

langsam, langsam.
Was ist mit Excel Dateien? Die die auf CD-ROM beigefügt sind?
Was meinst Du mit den Excel Dateien? Kann man sie nutzen ohne Inhalt des Buches zu kennen.
Die Beschreibung bei Amazon klingt sehr vielversprechend. Trifft mein Interessengebiet.
Kannst Du mir das Buch ausleihen?
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Rossi · Anmeldedatum: 17.08.2005 Beiträge: 830

Ok,

ich schicke es gleich los.

Rossi

Joram · Anmeldedatum: 17.08.2005 Beiträge: 2238

@Rossi,

danke. Das ist sehr lieb von Dir. Ich beeile mich. Versprochen.
Das Buch scheint das erste umfangreiche MM Buch in Dt. Sprache zu sein.
Wie auch ein Kunde geschrieben hat:#

Rossi · Anmeldedatum: 17.08.2005 Beiträge: 830

@Joram,

es hat keine Eile. Ich bin mit Büchern eingedeckt.

Gruß

Rossi

Rossi · Anmeldedatum: 17.08.2005 Beiträge: 830

Joram, das Regal kannst Du Dir schon mal bauen.

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Joram · Anmeldedatum: 17.08.2005 Beiträge: 2238

@Rossi,

der Typ hat Recht. Wenn er alle Bücher digitalisiert hat, dann braucht er kein Regal. Logisch.
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