Daytrader quiz

[ondafringe]

1.00242206679 ^ 252 - 1
Yearly it’s 83.97%

We have a winner!

 

[Sekiyo]

Just because I like to make excel shits

That's your Strategy.

Win 50% of the time.
Make 1.5 Reward, Risk 1%

Daily should compound @ 0.24%
Yearly should multiply by 1.84x

The simulation returned 0.22% per day over 9,999 days.
The minimum Trailing Twelve Months is 1.02x and the maximum is 3.47x
The maximum drawdown is about 0.74 or - 26% from ATH
You spend about 80% of the time below each ATH

 

[earth_imperator]

@Sekiyo, can one say this is a realistic strategy? Even a safe/conservative strategy?
After all it makes more than 80% p.a.

 

[Sekiyo]

@Sekiyo, can one say this is a realistic strategy? Even a safe/conservative strategy?

Sounds realistic to me.
Could be safe if costs are included.
Worst year should be around break even.
I wouldn’t call it conservative 84% per year in avg.

If you have this kind of edge then go for it !

 

[earth_imperator]

Sounds realistic to me.
Could be safe if costs are included.
Worst year should be around break even.
I wouldn’t call it conservative 84% per year in avg.

If you have this kind of edge then go for it !

I just evaluated the possibilities by taking some such "conservative" rates that seem realistic & achievable. Ie. LHF (harvesting low hanging fruit )

 

[earth_imperator]

What you iterate is 0.3% per day over 21 days.
But your strategy doesn’t deliver 0.3% per day.

1.015 * 0.99 - 1
It’s 0.485%

1.00485 ^ (1/2) - 1
In average, per day it’s 0.242%

1.00242206679 ^ 21 - 1
Monthly it’s 5.21%

1.00242206679 ^ 252 - 1
Yearly it’s 83.97%

It's unclear to me why you use 1.5 and 0.99 in your above formulas. And then get 0.242% per day, and 83.97% per year.
Why 0.99? And what about the loss of -1%. It's not counted in your calculation.

The scenario clearly gives 6.5316% per month (ie. per 21 trade days). This then translates to:
(pow(1 + 6.5316 / 100, 1 / 21) - 1) * 100 = 0.301747% per trade day, and
(pow(1 + 6.5316 / 100, 12) - 1) * 100 = 113.67% per year.

 

[Sekiyo]

It's unclear to me why you use 1.5 and 0.99 in your above formulas. And then get 0.242% per day, and 83.97% per year.
Why 0.99? And what about the loss of -1%. It's not counted in your calculation.

The scenario clearly gives 6.5316% per month (ie. per 21 trade days). This then translates to:
(pow(1 + 6.5316 / 100, 1 / 21) - 1) * 100 = 0.301747% per trade day, and
(pow(1 + 6.5316 / 100, 12) - 1) * 100 = 113.67% per year.

Your scenario is right.
If your implied probability of winning is 52% (11/21)
Which is not even (50% or half the time).
That's why you get better results.

Your daily expectancy is
(1+1.5%) ^ 0.5238 * (1-1%) ^ 0.4761
Which is about what you get (1.003018)

We're not implying the same %Win rate.
It's either ~52% (You) or 50% (Me)

I used 1.015 and 0.99 because you said
You win the first day -> 1 + 1.5% is 1.015
You lose thereafter -> 1 - 1% is 0.99

Your cumulative PnL is 1.015 * 0.99 -> 1.00485
Since you've traded 2 days then the daily average is 1.00485 ^ (1/2)

That's it ^^