MK … thanks for the new Drawdown/Risk column on the system page trade tables! I looked at Bender’s S&P Emini system and the numbers roughly jive with what I’ve experienced in my real account as far as the drawdowns, despite the considerably worse fills I get on both sides of the trades. Please tell us how the risk rating is determined when you get a chance.
Keep those goodies coming!
Randy
Matthew: I see what you’re trying to do, but maybe it still needs a bit of polishing. Picking on myself: I had a losing Soymeal trade that shows $0 - Low Drawdown/Risk, yet I had a winning Yen trade that shows as Extreme! Now, granted, the Yen trade was closed out considerably below it’s equity high, but which trade would you have rather had??
I question the value of this trade-by-trade, but it would be very useful on a portfolio basis. High and low risk trades can co-exist in a portfolio balancing overall risk and smoothing equity, but not showing all simultaneous trades together as a group is misleading, IMHO. One position can be drawing down from it’s equity high, while another is making a new high. That’s the purpose of diversification. If all my trades were taken one at a time in sequence, then I would say this type of rating is fair. But I have positions in 11 markets and it’s important to see the forest, not the trees! It’s the overall affect on one’s wallet that is important, and pinpointing a few higher risk trades tends to draw attention away from the system’s true performance.
yet I had a winning Yen trade that shows as Extreme! Now, granted, the Yen trade was closed out considerably below it’s equity high, but which trade would you have rather had??
This also illustrates the fallacy of the “stolen concept.”
>I question the value of this trade-by-trade, but it would be very useful on a portfolio basis. High and low risk trades can co-exist in a portfolio balancing overall risk and smoothing equity, but not showing all simultaneous trades together as a group is misleading, IMHO. One position can be drawing down from it’s equity high, while another is making a new high. That’s the purpose of diversification. If all my trades were taken one at a time in sequence, then I would say this type of rating is fair. But I have positions in 11 markets and it’s important to see the forest, not the trees! It’s the overall affect on one’s wallet that is important, and pinpointing a few higher risk trades tends to draw attention away from the system’s true performance.
I also question the value of this trade-by-trade for closed positions, not for open positions. On a portfolio level, It would be useful to analyze the payoff structure of the portfolio and its sensitivities to various market factors and economic shocks, in which case a low risk level for the portfolio (through diversification) would provide high value-added in the quest for superior returns with an approach geared to the portfolio investors need to choose from among competing asset classes on a high reward/low risk (prudent) basis taking into account the difficulty of picking winners, commission, slippage costs and tax consequences.
This is a very good feature.
I disagree. The reason being it is “impractical” to implement it for closed positions because the open DD results are “unreal-istic”, some of which are casued by quote errors which are in turn caused by quote failures. There may be other reasons why these results are “unreal-istic”. I do not know for sure what these are.
If we assume a system has on the average 20 errors, 1400 X 20 = 28000 total errors at C2 (and the number of systems is only going to increase at C2 as time goes by). The more trades a system makes, the more these errors crop up. This would pose a nightmare situation for MK to correct them all, because they all have to be corrected manually.
PS: In the context of an ethical discussion, the assesment of a course of action as “practical” or “impractical” can take into account only matters open to a man’s choice. The question is: in such matters, does he act according to the principles necessary to achieve values, or does he introduce a breach between his mind (consciousness) and reality? In the first case, he and the ethics he follows deserve the accolade “practical”; in the second case, he and it do not. In this sense, we may say that, despite man’s limitations of knowledge, morality does ensure practicality.
Just as the moral and the practical go together, so do the immoral and the impractical. Just as the virtuous is the efficacious, so the evil is the impotent.
Evil, means the wilful ignorance or defiance of reality. This has to mean: that which cannot deal with reality, that which is whim-ridden, context-dropping, self-contradictory, irresponsible, and short-range. It is consistent with only one regard: its essence is consistently at war with all the values and virtues of a system.
The antilife is barren. It achieves only the antilife.
An inverted moral code has so corrupted people that they associate evil with value rather than with loss - eg., the “mad scientist” of the movies, who gains new knowledge because he is “diabolical”; or the “robber baron” of the historians, who gains wealth because he is an “exploiter”. In actuality, the reverse is true. Virtue, not vice, leads to science, riches, and every other good. The evil man taken pure, i.e., deprived of any assistance from the principle of virtue, is not the flamboyant value-achiever of our cultural mythology. He is a non-achiever, ignorant, impoverished, furstrated, resentful, and helpless, helpless to do anything about his condition. He is helpless by his own choice.
Principles are a form of conceptualization. Pitting principles against life is equivalent to pitting theory against practice. In both formulations, one is pitting concepts aginst life and practice, which means: one is accepting a breach between concepts and reality. This in turn presupposes a certain view of concepts.
Nothing but a false theory of concepts can explain the worldwide scorn tody for the conceptual guidance offered by principles. Such scorn would be impossible to a man who regarded conceptualization as the means of knowing existence; but it is necessary to the disciples of intrincism and subjectivism, who make abstractions useless by detaching them from percepts. The intrinsicists have the effrontery to build on this uselessness: be loyal to principles apart from reality, they say, and suffer the consequence, which is misery here on earth. To which the subjectivists reply: that is the price of being principled and it is too high; so, they conclude, anything goes. The one mentality tells us: abstractions including those of the evaluative variety, do not pay off in this world - which they don’t, not in his kind of interpretation. The other shrugs: so much for abstractions, let’s be “practical.” Thus the awesome spectacle created by both sides: the spectacle of man, the rational being, asserting as a truism the incredible notion that his congnitive faculty is an obstacle to his survival.
As long as men reject reason in epistemology, they will necessarily reject it in ethics. If they introduce a breach between consciousness and existence at the base of their thinking, they will carry that breach into their thinking on value questions as well. Such an approach will lead them inevitably to some form of the moral-practical dichotomy.
Morality is practical, because consciousness is practical. And consciousness is practical because it is “the faculty of perceiving that which exists.” and of “the faculty of perceiving that which does not exist.”
