I read the link you posted (for the most part) but lost interest. It doesn't seem related to this thread IMHO.
Wayne
Wayne
Acrary is a genius!
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You do realize how naive you sound?
Here's simple math that may help you get back to your senses.
Suppose you add to position everytime market goes X points against you. n - how many times you've already added (that is, nX is how many points you're negative).
when n = 1, your risk is X
when n = 2, your risk is X+2X
when n = 3, your risk is X+2X+3X
etc.
From above you see that your risk is:
X+2X+3X+...+nX = X(1+2+3+...n)
Now, 1+2+3+...+n = (n+1)n / 2
Back to risk formula, and we get:
X(n+1)n/2
It means that your risk increases exponentially while n increases linearly, because (n+1)n=n^2+n
What does it mean? It is a martingale betting strategy. Sooner or later you will hit a large adverse move (fat-tail) that will increase your floating loss to huge numbers and you may not be able to get out of it for years or decades. In other words, your risk is extremely high and gains are very tiny.
You haven't found any secrets here.
Here's how your risk would look like (when X = 2 points, i.e. you add every two points, graph shows total risk in points; the max floating loss is 7000 points when you're only 160 points negative. i.e. added 80 times):
Knocks420,
Just a thought, I know how you feel about small position sizing.
At first I was dismayed by the monte carlo analysis that the trader on kreslik.com strongly urged me to consider. His point was to use tiny position sizes relative to my account.
The evidence of my tests proved him right.
For several weeks, it created a morose sadness from losing the fantasy of getting rich quick on the markets.
But even though the position size is small, through compounding with 99% accurate trades, it doubles the account at a very comfortable rate so I won't lose interest entirely.
So I'm now committed to working my day job for a while longer. My new idea from Acrary for quicker income is to produce a track record solid enough to get OPM.
Acrary recommended that in a thread. It was in "if I could do it over again", I think.
He said that if you have a win rate better than hedge funds using real money, then you can get those hedge funds to fund you and take a percentage.
I called around to a few funds several weeks ago and found that, yes, they were interested in talking to me once I had the track record. Even though I was cold calling, I wasn't treated as a telemarketer or unwanted salesman.
After all it's offering them more money if it works.
Besides, even if this particular strategy isn't the best there is, I can set it up let it go while I work on newer and better models for entries, etc.
Once I have one that performs better on live data, I can retire the old one, or just let them both run if they don't correlate too much.
This is just the beginning. My first reliably profitable strategy.
Maybe I better stop posting till I get it fully live. So you won't worry about overconfidence.
Wayne
Just a thought, I know how you feel about small position sizing.
At first I was dismayed by the monte carlo analysis that the trader on kreslik.com strongly urged me to consider. His point was to use tiny position sizes relative to my account.
The evidence of my tests proved him right.
For several weeks, it created a morose sadness from losing the fantasy of getting rich quick on the markets.
But even though the position size is small, through compounding with 99% accurate trades, it doubles the account at a very comfortable rate so I won't lose interest entirely.
So I'm now committed to working my day job for a while longer. My new idea from Acrary for quicker income is to produce a track record solid enough to get OPM.
Acrary recommended that in a thread. It was in "if I could do it over again", I think.
He said that if you have a win rate better than hedge funds using real money, then you can get those hedge funds to fund you and take a percentage.
I called around to a few funds several weeks ago and found that, yes, they were interested in talking to me once I had the track record. Even though I was cold calling, I wasn't treated as a telemarketer or unwanted salesman.
After all it's offering them more money if it works.
Besides, even if this particular strategy isn't the best there is, I can set it up let it go while I work on newer and better models for entries, etc.
Once I have one that performs better on live data, I can retire the old one, or just let them both run if they don't correlate too much.
This is just the beginning. My first reliably profitable strategy.
Maybe I better stop posting till I get it fully live. So you won't worry about overconfidence.
Wayne
Quote from Indrionas:
You do realize how naive you sound?
Here's simple math that may help you get back to your senses.
Suppose you add to position everytime market goes X points against you. n - how many times you've already added (that is, nX is how many points you're negative).
when n = 1, your risk is X
when n = 2, your risk is X+2X
when n = 3, your risk is X+2X+3X
etc.
From above you see that your risk is:
X+2X+3X+...+nX = X(1+2+3+...n)
Now, 1+2+3+...+n = (n+1)n / 2
Back to risk formula, and we get:
X(n+1)n/2
It means that your risk increases exponentially while n increases linearly, because (n+1)n=n^2+n
What does it mean? It is a martingale betting strategy. Sooner or later you will hit a large adverse move (fat-tail) that will increase your floating loss to huge numbers and you may not be able to get out of it for years or decades. In other words, your risk is extremely high and gains are very tiny.
You haven't found any secrets here.
Here's how your risk would look like (when X = 2 points, i.e. you add every two points, graph shows total risk in points; the max floating loss is 7000 points when you're only 160 points negative. i.e. added 80 times):
outstanding logic, very well said,
iow
risk can become exponential
so that must be balanced with one's emotional quotient, one's capital balance, trading conditions, market time of day and expectations.
there are no rules of thumb,
one finds out through failure, unfortunately, and that is after reading all those trading books
you know, the ones that all say: "and you too can become an internet millionaire..."
Knocks420,
You mention about it not being easy.
I had an interesting experience about 8 years ago.
I had been trading discretionary but course I got in the mail for commodities. You know the ones. I was so naive back then.
Anyway, I was using a live broker in those days.
I told him I decided to quit trading because I had been trading through him for over 6 years and never made any money.
He asked me a couple questions:
Q: So you never made any money, have you lost any money?
A: I said sure. Lots of times.
Q: He asked if I remember how much I started my account with.
A: I did. He pointed out that was the same account balance I had now.
Q: Have you added funds to the account? Ever had a margin call?
A: I said no, that's still the same money.
He concluded by saying I was a rare individual. Practically all the clients he had during that time already lost there money and quit. But he pointed out that I consistently had winners followed by enough losers that lost the winnings back.
He suggested I should at least stick with it and attempt to keep winning while reducing the losses.
Point is, I've been on this road many years. Tried tons and tons of stuff even as far a neural nets and such non sense. I even did day trading for a while. That was painful because I immediately lost huge through mistakes but suffered through and earned it all back again and then threw in the towel. Too boring and stressful.
To this day, I still have never seriously profited or lost money in the markets. Flat, flat, flat.
The monte carlo analysis forced me to realize why. It was my whole approach to money management and position sizing.
My excitement is simply the certainty that I'm now on the right track, finally. And I thank Acrary as well as some other traders here on ET and on Kreslik.com for their kindness and encouragement.
Sincerely,
Wayne
You mention about it not being easy.
I had an interesting experience about 8 years ago.
I had been trading discretionary but course I got in the mail for commodities. You know the ones. I was so naive back then.
Anyway, I was using a live broker in those days.
I told him I decided to quit trading because I had been trading through him for over 6 years and never made any money.
He asked me a couple questions:
Q: So you never made any money, have you lost any money?
A: I said sure. Lots of times.
Q: He asked if I remember how much I started my account with.
A: I did. He pointed out that was the same account balance I had now.
Q: Have you added funds to the account? Ever had a margin call?
A: I said no, that's still the same money.
He concluded by saying I was a rare individual. Practically all the clients he had during that time already lost there money and quit. But he pointed out that I consistently had winners followed by enough losers that lost the winnings back.
He suggested I should at least stick with it and attempt to keep winning while reducing the losses.
Point is, I've been on this road many years. Tried tons and tons of stuff even as far a neural nets and such non sense. I even did day trading for a while. That was painful because I immediately lost huge through mistakes but suffered through and earned it all back again and then threw in the towel. Too boring and stressful.
To this day, I still have never seriously profited or lost money in the markets. Flat, flat, flat.
The monte carlo analysis forced me to realize why. It was my whole approach to money management and position sizing.
My excitement is simply the certainty that I'm now on the right track, finally. And I thank Acrary as well as some other traders here on ET and on Kreslik.com for their kindness and encouragement.
Sincerely,
Wayne
Wayne,
There are only two outcomes of an automated martingale strategy, position size is too small and you won't produce meaningful returns or you blow up. You will find this out when you go live which I encourage you to do, only way to learn.
Then you will modify your system till you are back at square one and looking for optimal entries. If you had the patience to read that thread, it describes EXACTLY what you are trying to do. And you will read how Mutant Wizard has altered his mechanical system to incorporate discretionary trading. There is only 1 successful martingale trader on Oanda, believe his name is Sympatico, he creates non-correlated martingales and uses a lot of discretion.
I would recommend if your system hits a lucky streak at the get go, get on the phone with those Hedge Funds, sell your system ASAP. If they are dumb enough to risk their clients money on a system like this then you deserve to have their money. Not kidding.
Done here but do tell us if you sell those hedge funds, THAT would be interesting reading.
There are only two outcomes of an automated martingale strategy, position size is too small and you won't produce meaningful returns or you blow up. You will find this out when you go live which I encourage you to do, only way to learn.
Then you will modify your system till you are back at square one and looking for optimal entries. If you had the patience to read that thread, it describes EXACTLY what you are trying to do. And you will read how Mutant Wizard has altered his mechanical system to incorporate discretionary trading. There is only 1 successful martingale trader on Oanda, believe his name is Sympatico, he creates non-correlated martingales and uses a lot of discretion.
I would recommend if your system hits a lucky streak at the get go, get on the phone with those Hedge Funds, sell your system ASAP. If they are dumb enough to risk their clients money on a system like this then you deserve to have their money. Not kidding.
Done here but do tell us if you sell those hedge funds, THAT would be interesting reading.
Indronias,
I don't do it that way--not a simple Martingale.
That idea obviously fails and for a variety of other reasons.
In hindsight, I don't mind saying that if the trade goes against you could simply enter 2 positions at the bottom of black Monday and exit with profit at the bounce.
But in practice it takes more trickery to position sizing since you can't foresee the bottom.
Sorry, I won't divulge more about that.
But you have hit the nail on the head as to the fundamental issue that must be solved.
Another thing, over the years, I noticed that for every successful trader, there's plenty of academics and books with "proof" that what the trader does day-in and day-out is impossible.
You can never know for sure until you do the research yourself and analyze ever single trade to figure out how you could make it better.
Frankly, I spend all my time studying the losing trades and figuring out why they lost and how to improve them.
That's where this approach came from.
Sure I tried the simple Martingale but that will EAT YOU A LIVE and wipe out your account just as you said.
Another weak approach to Martingale is positions sizes so TINY that you never see any real profit or can't even trade that small. (Maybe that's what Knocks420 was refering to earlier.)
No, I have the outliers down to lasting only a short time. Plus, I find the outliers in reality only last a few hours. It's the recovery that takes longer. I have some ideas to capitalize further on that fact.
Look at Black Monday, that dive and 36% bounce happened in a couple days. Not years.
I wish now I could see an hourly chart of black monday. I bet that all happened during a few hours of the day rather than the entire day. That kind of crazy crash is the result of psychology and sheer terror from those with long positions.
Sincerely,
Wayne
I don't do it that way--not a simple Martingale.
That idea obviously fails and for a variety of other reasons.
In hindsight, I don't mind saying that if the trade goes against you could simply enter 2 positions at the bottom of black Monday and exit with profit at the bounce.
But in practice it takes more trickery to position sizing since you can't foresee the bottom.
Sorry, I won't divulge more about that.
But you have hit the nail on the head as to the fundamental issue that must be solved.
Another thing, over the years, I noticed that for every successful trader, there's plenty of academics and books with "proof" that what the trader does day-in and day-out is impossible.
You can never know for sure until you do the research yourself and analyze ever single trade to figure out how you could make it better.
Frankly, I spend all my time studying the losing trades and figuring out why they lost and how to improve them.
That's where this approach came from.
Sure I tried the simple Martingale but that will EAT YOU A LIVE and wipe out your account just as you said.
Another weak approach to Martingale is positions sizes so TINY that you never see any real profit or can't even trade that small. (Maybe that's what Knocks420 was refering to earlier.)
No, I have the outliers down to lasting only a short time. Plus, I find the outliers in reality only last a few hours. It's the recovery that takes longer. I have some ideas to capitalize further on that fact.
Look at Black Monday, that dive and 36% bounce happened in a couple days. Not years.
I wish now I could see an hourly chart of black monday. I bet that all happened during a few hours of the day rather than the entire day. That kind of crazy crash is the result of psychology and sheer terror from those with long positions.
Sincerely,
Wayne
Quote from Indrionas:
You do realize how naive you sound?
Here's simple math that may help you get back to your senses.
Suppose you add to position everytime market goes X points against you. n - how many times you've already added (that is, nX is how many points you're negative).
when n = 1, your risk is X
when n = 2, your risk is X+2X
when n = 3, your risk is X+2X+3X
etc.
From above you see that your risk is:
X+2X+3X+...+nX = X(1+2+3+...n)
Now, 1+2+3+...+n = (n+1)n / 2
Back to risk formula, and we get:
X(n+1)n/2
It means that your risk increases exponentially while n increases linearly, because (n+1)n=n^2+n
What does it mean? It is a martingale betting strategy. Sooner or later you will hit a large adverse move (fat-tail) that will increase your floating loss to huge numbers and you may not be able to get out of it for years or decades. In other words, your risk is extremely high and gains are very tiny.
You haven't found any secrets here.
Here's how your risk would look like (when X = 2 points, i.e. you add every two points, graph shows total risk in points; the max floating loss is 7000 points when you're only 160 points negative. i.e. added 80 times):
Thank you limitdown.
Very well said. Even the best strategy in the wrong hands can spell disaster.
And to indronias, you obviously have that analytical skill to punch holes in it. Why not apply yourself to determine how to make it work instead? You have the ability, obviously if you try.
Trust me, once you figure it out, I doubt you'll want to share the details either. Plus, our techniques will be different due to the reason limitdown stated very a propos.
Wayne
Very well said. Even the best strategy in the wrong hands can spell disaster.
And to indronias, you obviously have that analytical skill to punch holes in it. Why not apply yourself to determine how to make it work instead? You have the ability, obviously if you try.
Trust me, once you figure it out, I doubt you'll want to share the details either. Plus, our techniques will be different due to the reason limitdown stated very a propos.
Wayne
WOW!!!! I'm astounded but I shouldn't be.
I just got a PM from someone who not only spelled out what I do to profit from the randomness, but told me 3 exact ways to resolve the outlier situation.
I say I'm astounded because it's like this person has been sitting watching.
But I shouldn't be astounded. This could only work if a lot of other smart people are doing it also.
I asked and want to find out why did he share with me?
In fact, I wonder why I'm so secretive about it. It may be because I worked so hard for so long to figure this out that it seems unfair to give it away for nothing. But I would never accept money for it either. I don't know.
It might be the fear that too many people find out and it stops working.
I otherwise am very generous in volunteer work and more. So I still need help coming to grips with the secrecy from Acrary and all the rest.
Anyone else able to help?
Sincerely,
Wayne
I just got a PM from someone who not only spelled out what I do to profit from the randomness, but told me 3 exact ways to resolve the outlier situation.
I say I'm astounded because it's like this person has been sitting watching.
But I shouldn't be astounded. This could only work if a lot of other smart people are doing it also.
I asked and want to find out why did he share with me?
In fact, I wonder why I'm so secretive about it. It may be because I worked so hard for so long to figure this out that it seems unfair to give it away for nothing. But I would never accept money for it either. I don't know.
It might be the fear that too many people find out and it stops working.
I otherwise am very generous in volunteer work and more. So I still need help coming to grips with the secrecy from Acrary and all the rest.
Anyone else able to help?
Sincerely,
Wayne
I was just searching the internet about the person who PM'd me. His name was familiar, I've seen it before but didn't know much about him.
Interesting. I won't divulge but he has been using the exact same strategy.
But just like me he never divulges the details only the benefits of never losing a trade and avoiding the outlier issues, etc.
Amazing.
That proves I didn't invent this.
Sincerely,
Wayne
Interesting. I won't divulge but he has been using the exact same strategy.
But just like me he never divulges the details only the benefits of never losing a trade and avoiding the outlier issues, etc.
Amazing.
That proves I didn't invent this.
Sincerely,
Wayne
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