Debunk Targets

Apophenia

Apophenia

Let's say you toss a coin 10 times per day (10 trades per day)
(The simulation contains 10 000 Days)

These are the frequency of the daily P&L from -10 to 10 with mean 0.0158

0.jpg


Now you set a profit target of 5 per day and stop if it's reached
These are the frequency of the daily P&L from -10 to 10 with mean -0.0763769

1.jpg


Now you set a loss restriction of -5 per day and stop if it's reached
These are the frequency of the daily P&L from -10 to 10 with mean 0.121049

-1.jpg


These are the three strategies accumulated
SL Bounded, Unbounded, TP Bounded

listlineplot.jpg


Edit : I had in mind Daily Tragets when I've done the Simulation but it applies to anything from trades to days, weeks ... This an element of Antifragile... =D
 
Last edited:
Apophenia said:
Let's say you toss a coin 10 times per day (10 trades per day)
(The simulation contains 10 000 Days)

These are the frequency of the daily P&L from -10 to 10 with mean 0.0158

View attachment 166763

Now you set a profit target of 5 per day and stop if it's reached
These are the frequency of the daily P&L from -10 to 10 with mean -0.0763769

View attachment 166764

Now you set a loss restriction of -5 per day and stop if it's reached
These are the frequency of the daily P&L from -10 to 10 with mean 0.121049

View attachment 166765

These are the three strategies accumulated
SL Bounded, Unbounded, TP Bounded

View attachment 166766

Edit : I had in mind Daily Tragets when I've done the Simulation but it applies to anything from trades to days, weeks ... This an element of Antifragile... =D
More...

Cool stuff. I once did a simulated 100,000 coin flips. The longest streak I had in that entire test was 21 straight tails...
 
Oh ... Actually this is a bit flawed ! I went too fast. I still have to take into account the losses / profits in the bounded strategy that are bigger than the target whereas I simply dropped them from the original (unbounded) serie ... So there will be more 5 (-5) in the TP Bounded (SL Bounded). The idea is there and it still works but the differences are less than the current ones.
 
bootize said:
Cool stuff. I once did a simulated 100,000 coin flips. The longest streak I had in that entire test was 21 straight tails...
More...

You've been lucky =P The probability of 21 consecutive tails or heads is (1-0.5)^21 which is 1/2097152 !
 
Apophenia said:
Bounded Upside. Finite Profit. Take Profit.
Of course I am talking about synthetic ones. I am not against Taking Profit at the Top. Lol
More...

nobody against that :) , the point is can trader correctly define the top (bottom) and should he even try to define it?

in your OP i understand that you talking about the target as a number of the profitable trades and I agree with you that it should not be the goal of a trader to define it

but the target price at which trader exits and reverses his position imho in many cases can be and should be defined
 
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