65% win ratio with 1:1 risk/reward?

[BillySimas]

They're not made up, they are based on past data.

Quote from robbie380:

lol i like how you just make up percentages and reward/risk and act like they are just going to happen. i wish i could do that!

 

[bespoke]

Yes, very possible. I have one strategy where I use 1:1 and I enter the stop order and limit exit order the moment I'm filled. Success rate is 80%+. But it's not quite 1:1 because there is slippage on about 50% of those orders that are stopped out. I have several hundred of these trades under my belt already FWIW so it's not a limited sample size. Also, I usually only exit 50% of my position at the exit so I can let the rest ride so it's actually better than 1:1 though I don't have exact statistics. I only know automated stop and exit is 80%+ and 1:1.

 

[robbie380]

lets see i just ran the numbers on my trading and i have a 2:1 reward risk and about a 53% winning %.

 

[BillySimas]

Thank you for the relevant response! 80% is great, what is your average holding time? I have read a bit about scaling out and I am under the impression that it is always a suboptimal strategy. Very interesting discussion here, I'd like to hear your thoughts on why you think scaling out is better than all out. It may increase your win rate but from what I've gathered your overall EV is always lower. Scaling out is basically just a psychological crutch.

http://www.elitetrader.com/vB/showthread.php?threadid=78975&perpage=6&pagenumber=13

Quote from bespoke:

Yes, very possible. I have one strategy where I use 1:1 and I enter the stop order and limit exit order the moment I'm filled. Success rate is 80%+. But it's not quite 1:1 because there is slippage on about 50% of those orders that are stopped out. I have several hundred of these trades under my belt already FWIW so it's not a limited sample size. Also, I usually only exit 50% of my position at the exit so I can let the rest ride so it's actually better than 1:1 though I don't have exact statistics. I only know automated stop and exit is 80%+ and 1:1.

 

[bespoke]

Quote from BillySimas:

Thank you for the relevant response! 80% is great, what is your average holding time? I have read a bit about scaling out and I am under the impression that it is always a suboptimal strategy. Very interesting discussion here, I'd like to hear your thoughts on why you think scaling out is better than all out. It may increase your win rate but from what I've gathered your overall EV is always lower. Scaling out is basically just a psychological crutch.

http://www.elitetrader.com/vB/showthread.php?threadid=78975&perpage=6&pagenumber=13

Well, I'm still working on it to find the optimal point. For the first few hundred trades I didn't scale out because I wanted to make sure the edge was there. Sure enough it was. But after reviewing the charts at the end of each day I noticed I could be making some more. I scale out depending on what the price and action is telling me. I don't know how to make a program think that way. Sometimes I don't scale out cause I have 'feeling' (uh oh) based on experience that it probably won't go past a certain point. I just hope that after doing thousands of these trades I'll be able to identify which ones I should let run and which ones I should have full size exits. So ya, it's still a work in progress and always will be.

Trades last seconds to minutes.

 

[BillySimas]

Quote from bespoke:
I just hope that after doing thousands of these trades I'll be able to identify which ones I should let run and which ones I should have full size exits.
[/B]

If you are using market action at that point to dictate your decision making, then you shouldn't be exiting at all unless you're exiting the full position. You are implying that the edge has changed at the time you are scaling out of half. If there is still a favorable edge, then you should still be in fully. Whatever your reasoning is for only exiting from half of the position, it will not be optimal financially, only psychologically. If an edge exists at that point, there is no reason to exit at all.

 

[bespoke]

Quote from BillySimas:

If you are using market action at that point to dictate your decision making, then you shouldn't be exiting at all unless you're exiting the full position. You are implying that the edge has changed at the time you are scaling out of half. If there is still a favorable edge, then you should still be in fully. Whatever your reasoning is for only exiting from half of the position, it will not be optimal financially, only psychologically. If an edge exists at that point, there is no reason to exit at all.

I agree. Like I said, it's still in the experimental phase. I believe scaling out is inferior as well (I don't do it in any of my other strategies). I'm just experimenting to see how far I can possibly take it and whether or not it improves the profit factor. The main reason I want to know if these trades can be held longer is because of liquidity issues and the longer I can hold, the less liquidity becomes a concern.

I don't know for sure there is a favorable edge beyond where my original exit is. Still testing. But so far its looking good

Cheers

 

[BillySimas]

Quote from bespoke:

I'm just experimenting to see how far I can possibly take it and whether or not it improves the profit factor.

If you are using a system, it is mathematically impossible to improve your profit by scaling out.

Cheers back at ya though, thanks for all the replies. Good talk

 

[bespoke]

Quote from BillySimas:

If you are using a system, it is mathematically impossible to improve your profit by scaling out.

Cheers back at ya though, thanks for all the replies. Good talk

Agreed. But it's not a system I've backtested nor can I. Reason being is that I can't include my own influence on the stocks (something so many others overlook). The edge is having the right situation + my influence. It's just something that 'makes sense' so I tested it live. Therefore, that's why I have to experiment.

I've done plenty of backtesting myself on scaling out and I've never seen anything to improve profitability either.

 

[canyonman00]

You have an effective base hitting (occasional double) system. I play almost a similar concept in most of my investments. Rarely do I look to max out and that makes the stress very manageable. Are you attempting to develop a constant profit figure/range?

Quote from BillySimas:

If you are using a system, it is mathematically impossible to improve your profit by scaling out.

Cheers back at ya though, thanks for all the replies. Good talk