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Yes, but they are also closed at an average price. Or you can use LIFO or FIFO. Really depends on what fits the system best. My system is actually very difficult to split up due to pair trades and combos, and it took a lot of work, but was well worth the effort. His sounds like it would be...

Your expectancy is very good, and your % winners isn't a problem. The whole point is that none of those factors can be viewed independently. You now need to determine whether a change in market conditions is likely to mess you up. That's why I was asking for beta and r-squared. If the bulk...

Yes, but you said "trades" not RT. Just wanted to clarify. Also, I just read through my previous posts really quick and realized that I typed them so fast, there is a confusing error. I think I suggested that your expectancy per risk was 13.38% and that isn't true. Your expectancy per...

111 trades? Or 111 round trips?

Now you have a slightly more realistic picture of where you've been until now. You know that in aggregate you expect to make $13.38 for every $100 risked. Like I said before, that is the easy part, but at least now you know. Let's take it step-by-step. Determine your expected annual ROR...

Yes, that's what I've been trying to explain this whole time. Whether to increase size depends completely on the effect that increase would have on the trade profitability. Take it one step further. Profitability is essentially just a simple equation. Expectancy X Size X Turnover...

Well, the expectancy of EVERY model varies. You still seem to be missing the point. A trader doesn't artificially maintain the expectancy within a framework. The trader always tries for peak profitability (which is a function of expectancy, size, and turnover), but he should have some type of...

Determining historical expectancy is very simple. Expectancy = (Probability of Win * Average Win %) – (Probability of Loss * Average Loss %) Example I You are 50:50 winners and losers. Average win = 2% Average loss = 1% (50*2)-(50*1) = 50 Expectancy +50% IOW, for every...

Determining historical expectancy is very simple. Expectancy = (Probability of Win * Average Win %) – (Probability of Loss * Average Loss %) Example I You are 50:50 winners and losers. Average win = 2% Average loss = 1% (50*2)-(50*1) = 50 Expectancy +50% IOW, for every...

You seem to be confusing things. Expectations and Expectancy are two very different things. Expectation : A strong belief that something will happen or be the case in the future. Expectancy : Statistically expected gain per dollar risked. A 100% expectation is simply a strong belief...

Let me put it this way. Most bets in games at a casino give the house a positive expectancy of 1/2% to 10%, and a casino is considered a license to print money. A system with just 15% expectancy and a 10% allowable drawdown can realize 50-100% annual returns. You are claiming to have 100%...

I'm confused by your response. Do you understand the concept of expectancy? If your system has an expectancy of 100%, you literally have the holy grail, and should be a billionaire.

There is a huge problem with this argument. The risk to the client and the risk to the adviser are very different. There is no way for the adviser to claim risk of 10% when the client is sitting on a loss of 20%. In fact, it is a really good way to get yourself thrown in jail. Real risk...

I add ONLY based on my model telling me that doing so will result in increased expectancy. Simply getting a lower price doesn't increase expectancy. It may or may not increase probability of profit, but that is only part of the equation. Before taking a trade, each is very well quantified...

You missed the point of his post. He was referring to quants. Quants are typically not trend traders. Most base trade signals off probabilities and some variation of stochastic processes. So to them it is very much like a complex version of coin flips.

If fresh analysis always tells you to add, then your model is broken and you have no edge.

It still sounds like you are adding once "just because". Kind of a "well it hasn't worked out yet so let's double the position and hope it recovers half way so we're back to break even". I'm suggesting that the only reason to add to a losing position is if fresh analysis suggests that by...

Which is why trend following systems typically outperform contrarian systems. The most interesting result of backtesting markets is that it turns out that the probability of another positive day in the markets actually increases as the positive streak extends.

It isn't baffling at all from a statistical viewpoint. If the sample size is large enough, the frequency of 50 heads in a row is precisely predictable. Also, the fact that there were 50 heads in a row does not in any way make a tails more likely on the next toss, or the next 10 tosses. That...

Very different when you are talking about managing OPM. When trading personal capital with an indefinite time horizon, you are correct in siding with Graham. But when trading OPM there is no such thing as a long time horizon during a loss, and the time period necessary to recover from a loss...