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Knock yourself out. And, actually, I said "average gain" not "average win". If the trades split 50/50 (and I don't know why they wouldn't. Just because you flip a coin and get heads doesn't mean your trade will be a winner), your average gain is zero and your standard deviation is 2. I...

One way you can do a quick check of your results against chance is to take all of your trades and calculate the average gain and the standard deviation, then divide the gain by the deviation and multiply by the square root of the number of trades you've made or by 10, whichever is smaller. If...

Yeah, with 44 I was more comfortable, but the stricter definition is a better test of the systematicity or lack thereof. Hopefully, I will have many 3-trade win streaks in the future to generate a larger sample. I still am interested in the general idea of how to calculate the most likely...

BTW, I always thought the gambler's fallacy was a rationalization for increasing the number of bets because the next one would recoup all losses. I'm aiming to reduce the number of bets, if I can identify a systematic way to ignore signals.

It's 44 trades out of 282. If you define it a bit more strictly as only the 4th trade after a 3 trade win streak, it's 25 trades. Some of the 44 are the 5th trade after a 4 trade streak with an embedded 3-trade streak at the end. That was how I wrote the Excel logic, but I don't think that's...

Yes, you correctly stated the null hypothesis and I incorrectly stated it. The chance that the winning percentages are the same is ~1%.

I use the chi-square test to see if I can reject the null hypothesis that the percentage of winners in the trades which meet the criterion is different from the percentage of winners in trades not meeting the criterion, by comparing actual to predicted winners. A binomial distribution test also...

Multiple. I average less than 1 trade/day with an average holding time of less than 2 days.

While true, in the sort of independent instance you cite, one would expect that the results of the 4th flip would be statistically the same as the overall flip distribution, no? So, the 4th flip should be H or T with equal probability, over enough trials. To make it more analogous to my...

I developed 2 strategies (my first two, so grain of salt here) and I thought about entries in a more conceptual way than what you've stated. My entry had to be the ideal point at which I could initiate a test of a hypothesis about future market price behavior, which in itself implied a complete...

Looking back over my testing results, I noticed that the trades following a 3-trade win streak had a much lower tendency to be winning trades than the trades which didn't meet that condition. I tested this tendency statistically and it does not appear to be due to chance. When I eliminate those...

Yes, which is why I have attempted to make my algorithm completely unique, which, I am aware, may be a pipe dream and, even if accomplished, could end up being unique but random rather than unique and meaningful, in which case I'm trading a unique piece of crap.

It would be tick data. I had heard there were backtesting programs which could estimate the amount of slippage for a given instrument, e.g. the SPY. Common sense would tell me that no retail trader can move the SPY price and I know from observing it over the years that it rarely moves more than...

My strategy uses conditional orders to set off market orders in the SPY, so how far, on average, should I assume the SPY market order gets filled from the price I used to trigger it? .02? .01?

It could be random. Or, the initial decline the edge showed, relative to backtests, could have been the random part. Or, subsequent refinement of the method, using post-trade analysis and further development of tools to accompany it, could reveal periods of degradation which could be avoided...

That's fine, although I notice again that rather than cite some of this literature, you assert that it both exists (which I don't doubt) and is definitive (which I do doubt, at least not without qualification). Also, by cutting off your response in such a way, you leave out the answer to my...

That sounds like something you are asserting, rather than something which has been shown empirically. Also, my understanding is that volatility is mean-reverting, yet your statement claims it is persistent, which again seems like something you're asserting rather than proving. Also, I guess I...

Taking "heat" on a trade from the minute I enter. Geez, Mr. Market, at least give me a few seconds to imagine that this trade will be profitable.

There's a lot of discussion about a trading edge going down (for convenience sake, I'll say that "edge" is measured by profit factor, so what I mean is I see a lot of people saying their method's profit factor eventually degrades), but has anyone had theirs increase after, say, a few hundred (or...

The 38% would be the equivalent of "value at risk" so that if your initial stop loss as hit, you would take a 38% loss. But, let's say you move your stop to cut your risk in half and it gets hit, your loss would be 19%.