A truly riskless system?

[F112358]

I happily observe that many, even more than yesterday, people are still jerking off with this useless contraption.

Carry on!.

 

[Martinghoul]

Quote from sambian:

I understand this notion. The returns in our game in percentage terms are +100% of my bet when I win and -50% of my bet when I lose.

sambian, sorry... I was very busy, but now back.

Shall we play our game? I am ready to go when you are.

 

[sambian]

Of course I'm ready

 

[SomeYoungGuy]

Quote from slapshot:

OK, all of you smart people can flame me now. I am just a guy who draws a few lines on a chart with no other indicators and then trades the tape based on how price acts near those lines. I barely graduated high school.

But it seems to me this whole thread has been an exercise in "static" mathematical academia and not in practical trading theory.

1) you will never see Euro vs. USD or any combo above mentioned at 100% or even 50% gains or losses down to 0% or any of the other premises of the system

2) you have made no allowances for comissions, spreads, slippage, mistakes, not being available to execute at the exact levels described, power outages, etc. etc. etc. etc.

3) you assume a perfect static fill price at exactly your chosen percentages each time you convert back/forth - this is totally unrealistic due to emotions, doubts, hesitations, etc. etc. etc.

OK, blast my face off now.

1 - absolutely right, and this is the problem with the Sambian Strategy. There is nothing traded anywhere that has frequent 50% down and 100% up movements. Nothing liquid and legal that is.

2 - academic discussions never do. After we get a working model, that's when we see if it makes more than the risk free rate, if it covers all the costs of trading that you mention. Perhaps it can be scaled up with margin to cover those costs. We noodle on how to get it right, before we start wondering how it can go wrong.

3 - right and wrong. We do assume static fill for testing; we will factor in slippage later if we find a working model. Because this strat can be so precisely and accurately defined, we will build a bot to do our trading for us, no emotion, no doubts, no hesitation.

 

[Martinghoul]

Quote from sambian:

Of course I'm ready

Great, let's do it... Am I flipping the coin or yourself?

 

[sambian]

Quote from Martinghoul:

Great, let's do it... Am I flipping the coin or yourself?

Myself
Joking. We can play together some online game which uses dice (backgammon), or cards (poker), or even coins (?). Then we can just record who threw better dice, or got higher cards, and thus we will simulate the coin flips

 

[SomeYoungGuy]

Quote from epetrov:

I agree that sambian system is not like that, but we can try the modification - adjustments on equal time periods - for example on weekly.

Well, you're right. Why wait until price moves -50% / +100%? We should be able to do it at half of that move and still be profitable. Or a tenth of that move. Or like you say, by time.

There is a lower limit on the delta that can possibly show a profit because we have to have a difference that shows its head in the +(move) and -1/1+(move), and also in the spread. I know it's there, and once we figure the formula then we will be able to easily calculate the minimum required movement using the price and spread.

I'm gonna have to grab a pencil and start playing with this. Once I find it, I will post results for all the currency pairs I can find.

 

[laserwolf]

Quote from sambian:

Myself
Joking. We can play together some online game which uses dice (backgammon), or cards (poker), or even coins (?). Then we can just record who threw better dice, or got higher cards, and thus we will simulate the coin flips

i think a neutral third party should generate a spreadsheet of random coin flips. as long as the rules are clear and it's clear who's heads and who's tails, tell me how many flips you want & i can generate it.

 

[Martinghoul]

Quote from sambian:

Myself
Joking. We can play together some online game which uses dice (backgammon), or cards (poker), or even coins (?). Then we can just record who threw better dice, or got higher cards, and thus we will simulate the coin flips

Nah, it's fine, we don't have to actually play... Let's just agree the terms of the game, shall we?

Here's what I propose:
1) Player starts with initial capital X
2) Player tosses a fair coin
3) If it's heads, player's capital goes to 2X; if it's tails, player's capital goes to 0.5X.
4) Repeat steps 2 - 3

How does that sound?

 

[sambian]

Quote from Martinghoul:

Nah, it's fine, we don't have to actually play... Let's just agree the terms of the game, shall we?

Here's what I propose:
1) Player starts with initial capital X
2) Player tosses a fair coin
3) If it's heads, player's capital goes to 2X; if it's tails, player's capital goes to 0.5X.
4) Repeat steps 2 - 3

How does that sound?

Sounds almost ok. However I told you that I will change the amount of "tied up" capital in every coin flip in order to be half of my bankroll, did you forget this little detail ?