A question for pro traders. Profit targets or runners?

[xelite777]

Quote from justrading:

There is no profitable trading system that has been precisely as profitable, or even invariably profitable, ad infinitum.

Any extrapolation from that flawed premise is equally flawed.

Nothing could be further from the truth. I can show you trading systems that are still profitable 20 or 30 years after their creation, over 20 or 30 different financial instruments and with the same exact and simple trading rules.

The idea that a profitable trading system will cease to perform over time is absurd to the extreme!

Only losing systems cease to "perform", for the simple reason that they had no statistical edge to begin with.

 

[justrading]

Quote from xelite777:

Nothing could be further from the truth. I can show you trading systems that are still profitable 20 or 30 years after their creation, over 20 or 30 different financial instruments and with the same exact and simple trading rules.

The idea that a trading system will cease to perform over time is absurd to the extreme!

Only losing systems cease to "perform", for the simple reason that they had no statistical edge to begin with.

Please do, bearing in mind ad infinitum, which expression I trust you understand.

Also, you were asking about immediate expectation, given overall expectancy and recent runs. I say that expectancy is not predictive of immediate results, regardless of recent outcomes.

To remind you of what exactly you said;

"But here is the thing: let's say the maximum drawdown of a profitable trading system is 15% of equity.

Your system has been winning for quite a while but now you are in a 15% drawdown (from the last equity high). What is the probabliity of going through a 30% drawdown?"

An expectancy of 40% in a population of 1000 is a sub-set of a population of 10,000, wherein the expectancy might be 20%. You think of a maximum drawdown as if it were cast in stone. At which point do you define it? Year 4? What happens if it is exceeded in year 11 of 20. Then year 22 of 30.

Everything works, until it doesn't.

Absurd? I await your proof, as does everyone else reading this. Please post the maximum drawdowns year by year, with a link to all trade records for at least 20 years, preferably 30 as you mentioned. Otherwise, let's not waste our time with fairy tales.

 

[xelite777]

Quote from justrading:

Please do, bearing in mind ad infinitum, which expression I trust you understand.

Well, "ad infinitum" we are all dead.

And when you are dead, knowing if trading system X is still profitable after 50 years would be the least of your worries, trust me on this one.

Quote from justrading:
An expectancy of 40% in a population of 1000 is a sub-set of a population of 10,000, wherein the expectancy might be 20%. You think of a maximum drawdown as if it were cast in stone. At which point do you define it? Year 4? What happens if it is exceeded in year 11 of 20. Then year 22 of 30.

After 20 years of live and paper trading, the maximum drawdown of System X (a profitable trading system) is 20%.

Every time the system is in a 10% drawdown, I make a bet with you: I bet even money that the system will recover from its 10% drawdown. You bet the opposite, that is you bet the system will go to 20% drawdown.

In the long run, if you keep betting that way, you will lose your shirt. If you don't understand that then you really do not fully grasp the concept of probability as far as trading systems with a positive expectancy are concerned.

Quote from justrading:
Everything works, until it doesn't.

That's the definition of a losing system.

Quote from justrading:

Absurd? I await your proof, as does everyone else reading this. Please post the maximum drawdowns year by year, with a link to all trade records for at least 20 years, preferably 30 as you mentioned. Otherwise, let's not waste our time with fairy tales. [/B]

Google for "top ten trading systems of all time" for example and see for yourself.

 

[justrading]

Quote from xelite777:

Well "ad infinitum" we are all dead.

And when you are dead, knowing if trading system X is still profitable after 50 years would be the least of your worries, trust me on this one.



After 20 years of live and paper trading, the maximum drawdown of System X (a profitable trading system) is 20%.

Every time the system is in a 10% drawdown, I make a bet with you: I bet even money that the system will recover from its 10%. You bet the opposite, that is you bet the system will go to 20% drawdown.

In the long run, if you keep betting that way, you will lose your shirt. If you don't understand that then you really do not fully grasp the concept of probability as far as trading systems with a positive expectancy are concerned.



That's the definition of a losing system.



Google for "top ten trading systems of all time" for example and see for yourself.

Spare us the BS and the fancy shit about long run dead.

For a maximum drawdown never to be exceeded, you basically have the peak early on, declining thereafter.

Further, you posited a system with max 15% drawdown, you are now at that, and asked the probability of exceeding 15%. It is 50:50, which is the expectancy of your next trade, which determines whether or not you exceed the previous max.

You are trying to fudge by changing your position from being predictive of the immediate outcome, to going from 15% to 30% drawdown, 10% to 20%. Read the original point and please stop playing these juvenile games.

Post records and links for audit. You claim 20 years live and paper trading. Let's stick to live and save the paper for the toilet where it belongs.

 

[xelite777]

Quote from justrading:

Further, you posited a system with max 15% drawdown, you are now at that, and asked the probability of exceeding 15%. It is 50:50, which is the expectancy of your next trade, which determines whether or not you exceed the previous max.

Oh boy.

If maximum drawdown of profitable system X is 30%, then when it hits 15% drawdown the probability of going to 30% drawdown is 50% ?!?!

Please go back to sleep, you are absolutely clueless on this one.

Quote from justrading:

You claim 20 years live and paper trading

I did?

 

[justrading]

Quote from xelite777:

Oh boy.

If maximum drawdown of profitable system X is 30%, then when it hits 15% drawdown the probability of going to 30% drawdown is 50% ?!?!

Please go back to sleep, you are absolutely clueless on this one.



I did?

You are either a lying sack of shit, or you are arguing for the sake of arguing. Either way, after this, I am done with you.

This is what you said. NOTE: EVEN MORE, not 15% to 30%, 15% to 16% would suffice.

"If a trading system has a positive mathematical expectancy then, by definition, after X amount of drawdown (or series of losses), the probability of going through even more drawdown becomes close to zero."

Then,

"After 20 years of live and paper trading, the maximum drawdown of System X (a profitable trading system) is 20%."

If you meant this hypothetically, say so, or was it a Freudian slip and you are a paper trader. Whatever.

Post results and links to trades that can be audited, otherwise the discussion is over.

 

[xelite777]

Quote from justrading:

You are either a lying sack of shit, or you are arguing for the sake of arguing. Either way, after this, I am done with you.

This is what you said. NOTE: EVEN MORE, not 15% to 30%, 15% to 16% would suffice.

"If a trading system has a positive mathematical expectancy then, by definition, after X amount of drawdown (or series of losses), the probability of going through even more drawdown becomes close to zero."

Then,

"After 20 years of live and paper trading, the maximum drawdown of System X (a profitable trading system) is 20%."

If you meant this hypothetically, say so, or was it a Freudian slip and you are a paper trader. Whatever.

Post results and links to trades that can be audited, otherwise the discussion is over.

Let me guess, this is your sixth beer in an hour.

 

[justrading]

Quote from xelite777:

Let me guess, this is your sixth beer in an hour.

No. You started a debate using a flawed understanding of statistics and probability.

The problem with opinionated idiots like you is that uninformed newbies might actually believe the garbage you spout, and suffer losses with real money.

 

[xelite777]

Quote from justrading:

No. You started a debate using a flawed understanding of statistics and probability.

I seems flawed because your knowledge of statistics and probability is obviously extremely limited.

Here is what I said exactly : "After 20 years of live and paper trading, the maximum drawdown of System X (a profitable trading system) is 20%.

Every time the system is in a 10% drawdown, I make a bet with you: I bet even money that the system will recover from its 10% drawdown. You bet the opposite, that is you bet the system will go to 20% drawdown. In the long run you will lose your shirt."

Now show us the "flaw" here, Einstein.

Quote from justrading:

The problem with opinionated idiots like you is that uninformed newbies might actually believe the garbage you spout, and suffer losses with real money. [/B]

The problem with rude, arrogant and vulgar people like you is that...
finish the sentence, I am done with you.

 

[justrading]

Quote from xelite777:

I seems flawed because your knowledge of statistics and probability is obviously extremely limited.

Here is what I said exactly : "After 20 years of live and paper trading, the maximum drawdown of System X (a profitable trading system) is 20%.

Every time the system is in a 10% drawdown, I make a bet with you: I bet even money that the system will recover from its 10%. You bet the opposite, that is you bet the system will go to 20% drawdown. In the long run you will lose your shirt."

In your original statement, you made no mention of 10% to 20%, just exceeding 15%. I posted that to remind you.

You have wriggled and lied since. You have stooped so low as to look through my posts, refer to beer (had to stop drinking that 7 months ago, sadly) and going to sleep. Clear signs of desperation. Can you see how juvenile this has become?

Let's get back to basics.

You made claims of 20 and 30 year trading successes to support your dream. Please post stats and links to all trades for audit.