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I post infrequently due to a lack of control of my posts. On occasion I've posted something I wanted to pull but was told it's no longer my content. With that in mind I re-think many posts and stop myself before putting myself out there. I still stop by to check pm, though. Alan

While the process of trading is a left-brained activity. The decision points for trading is a right-brained activity. Your ability to perceive is much more important than any amount of grinding out models that bang away at a database. In my first trading oportunity I traded OEX (S&P 100) Index...

Try to identify the market conditions when your system works well and then screen for them. Today is either a trend day or reversal day. Either way it should have a good move this afternoon. Hopefully your system is working well today as it's a very easy market to trade.

Quote from dtrader98: Any reason why you added one to the max losing streak S=12.16? If I run a very large simulation, it converges to an average of 12, as the expected max losing streak (with your parameters). It's probably just my quirkiness. I did it because I was looking for a...

I guess what you're asking for is a formula for estimating drawdowns assuming a normal distribution of returns. You can estimate the probable ending returns using statistics and your sample trades. But other than using Monte Carlo runs I don't know of a way of estimating probable drawdowns. I...

In the example, 1500 is used for the wins and 1000 for the losses. In the real world we'll see a distribution of wins and losses such that the mean of the wins would be approx. 1500 and the mean of the losses would be 1000. I don't know that to be the case here, but in general it has been for my...

Here's the link for the streaks: http://www.elitetrader.com/vb/showthread.php?s=&postid=3186224#post3186224 The math is simply taking the loss rate (.25 and doing power math times the number of trades to reach certainty 1.0) (.25^3.32) * 100 = 1 The drawdowns were calculated using a...

With the numbers you've provided, the 95% confidence level is a drawdown of 23% per 100 trades. If you went to 3% per-trade the 95% confidence level drops to 14%. The expected maximum losing streak at 99% confidence is only 3.32 for 100 trades. At 1,000 trades it grows to about 5.

The basic formula for figuring the expected maximum losing streak is: S = ln(1/T)/ln(L) where: L = % losers S = Streak T = # trades Ex. T = 500 trades L = .6 or 60% losers S = ln(1/500)/ln(.6) S = -6.21461/-.51083 S = 12.16581 or a expected max. losing streak of 13 trades If...

As a precursor to building Doron, I had to find a way to characterize market activity. All markets are two dimensional (time and price). Of the two, only time is constant. I built some software to look at price action within a fixed period of time (1 day, 2 days, etc.). I expected to not find...

200% per-month isn't reasonable. I was making the case that a target of 200% per-year is a reasonable goal for a small trading account.

I'm not sure what you're saying nonense about. The numbers can be checked using any Monte Carlo sim. I don't think trading about once per-day with a 1.5 profit factor is anything incredible. Risking 1.75% of a account wouldn't suite me, but if I had a small account;I could see it happening...

Might be a little easier to see in this screenshot.

I occassionally stop by, so I'm not totally off the net. While a average trader will undoubtedly lose money, an average profitable trader shouldn't have trouble with the math of 200%+ profits before taxes and withdrawls. Here's the math for a trader that does 275 trades/yr with a profit...

Optimal F by Ralph Vince is a good way to find the optimal geometric mean for trading. The real question I found is whether to trade size at the geometric mean or a sub-optimal level using Monte Carlo sims for drawdowns. i.e. If I'm willing to suffer through a 30% drawdown should I place 70% of...

15% per-year for last 18 years before fees. worst year -2%. Since they only deal with institutions I can't find the fee structure.

Bridgewater with 70 - 80 bill. under management is the largest hedgefund I know of. Ray Dalio's approach is 100% automated. Here's a interview with him before he made it big: http://www.derivativesstrategy.com/magazine/archive/2000/1000qa.asp

If someone tells me they're using x% in their mmgt, then I assume they're saying "my risk per trade is x%". Any other connotation such as I use 5% of my portfolio per-trade for margin has no value in short term trading. I assume you're saying you risk 5% per-trade of your portfolio. 5% of...

I just ran the numbers through a trade simulator. At 5% of portfolio risked per-trade and the win/loss stats given, the numbers are correct. To achieve only 1% return per-week given 16+ trades per-week and the win/loss stats, you'd be trading much smaller size (certainly less than .5% per-trade...

I took a look at your numbers in the beginning of the thread. From them you should be netting more than 175% per-month on average. You also have a 90% chance of one losing month per-year with more than a 50% drawdown and a 50/50 chance of a drawdown of 30% or more each month. If you pull...