Is my trading system (long-term) profitable?

[PlannedTrades]

Do you folks think my trading results suggest that my strategy is long-term profitable (taking EV, and risk management into account - I never risk more than 2% per trade, and don't use any Martingale nonsense, but it DOES result in a large drawdown because of negative consecutive runs). You can copy/paste my results into Excel to run formulas on it.

Here are the results from approximately 9 months of REAL money trading in the currency market. I only traded the EUR/USD and EUR/GBP (this system can be traded on a smaller time frame as well - provided you are an active trader, but it works better for someone who has a full-time job, and doesn't need to log in very often. Otherwise it will results in way too many trading alerts / signals throughout the year... though I'm sure it can be programmed using algorithms too, but I am not a programmer):



01] profit = 53.30 pips
02] loss = -5.20 pips
03] loss = -9.70 pips
04] loss = -4.10 pips
05] loss = -2.90 pips
06] loss = -6.10 pips
07] loss = -6.20 pips
08] loss = -15.10 pips
09] profit = 10.10 pips
10] loss = -8.90 pips
11] loss = -6.50 pips
12] loss = -12.20 pips
13] loss = -5.60 pips
14] profit = 16.10 pips
15] loss = -6.10 pips
16] loss = -3.10 pips
17] profit = 3.20 pips
18] loss = -14.30 pips
19] loss = -7.80 pips
20] profit = 152.50 pips
21] loss = -11.20 pips
22] profit = 84.60 pips
23] loss = -16.10 pips
24] loss = -19.80 pips
25] loss = -16.30 pips
26] profit = 147.50 pips
27] profit = 20.30 pips
28] profit = 69.20 pips
29] loss = -26.20 pips
30] profit = 34.20 pips
31] profit = 4.20 pips
32] profit = 83.90 pips
33] loss = -49.80 pips
34] profit = 15.60 pips
35] loss = -24.40 pips
36] profit = 12.20 pips
37] profit = 4.10 pips
38] loss = -5.90 pips
39] profit = 17.80 pips
40] loss = -26.10 pips
41] loss = -0.80 pips
42] loss = -7.30 pips
43] loss = -17.30 pips
44] loss = -20.40 pips
45] loss = -1.70 pips

 

[chaykapwr]

Quote from PlannedTrades:

Do you folks think my trading results suggest that my strategy is long-term profitable (taking EV, and risk management into account - I never risk more than 2% per trade, and don't use any Martingale nonsense, but it DOES result in a large drawdown because of negative consecutive runs). You can copy/paste my results into Excel to run formulas on it.

Here are the results from approximately 9 months of REAL money trading in the currency market. I only traded the EUR/USD and EUR/GBP (this system can be traded on a smaller time frame as well - provided you are an active trader, but it works better for someone who has a full-time job, and doesn't need to log in very often. Otherwise it will results in way too many trading alerts / signals throughout the year... though I'm sure it can be programmed using algorithms too, but I am not a programmer):



01] profit = 53.30 pips
02] loss = -5.20 pips
03] loss = -9.70 pips
04] loss = -4.10 pips
05] loss = -2.90 pips
06] loss = -6.10 pips
07] loss = -6.20 pips
08] loss = -15.10 pips
09] profit = 10.10 pips
10] loss = -8.90 pips
11] loss = -6.50 pips
12] loss = -12.20 pips
13] loss = -5.60 pips
14] profit = 16.10 pips
15] loss = -6.10 pips
16] loss = -3.10 pips
17] profit = 3.20 pips
18] loss = -14.30 pips
19] loss = -7.80 pips
20] profit = 152.50 pips
21] loss = -11.20 pips
22] profit = 84.60 pips
23] loss = -16.10 pips
24] loss = -19.80 pips
25] loss = -16.30 pips
26] profit = 147.50 pips
27] profit = 20.30 pips
28] profit = 69.20 pips
29] loss = -26.20 pips
30] profit = 34.20 pips
31] profit = 4.20 pips
32] profit = 83.90 pips
33] loss = -49.80 pips
34] profit = 15.60 pips
35] loss = -24.40 pips
36] profit = 12.20 pips
37] profit = 4.10 pips
38] loss = -5.90 pips
39] profit = 17.80 pips
40] loss = -26.10 pips
41] loss = -0.80 pips
42] loss = -7.30 pips
43] loss = -17.30 pips
44] loss = -20.40 pips
45] loss = -1.70 pips

is this a joke or.....?

How in the world can you expect someone ELSE to do the WORK for you? I like how you add, you can copy this to excel to run formulas...like you are giving us all the privilege of confirming if your system is worth a damn or not.

The only tip I can give you, 45 is not a large enough sample. While its true that samples of 30 or greater do resemble a normal distribution, its my rule of thumb that for trading samples of less than a 100 are useless.

Wait wait, i mean

your system is super profitable! Go trade live now !

 

[PlannedTrades]

Quote from chaykapwr:

is this a joke or.....?
How in the world can you expect someone ELSE to do the WORK for you?

I've already run the numbers. They show me an +8.26 pip EV on each trade, but "negative runs" can, and will happen and I needed some insight into the long-term viability of my system. Also, I'm not a math major.




trading samples of less than a 100 are useless.
[/QUOTE]

Oh no... not that age ol' "sample size" excuse again! Warren Buffett has a sample size of less than 100 investments, btw.

 

[NetTecture]

Quote from PlannedTrades:

I've already run the numbers. They show me an +8.26 pip EV on each trade, but "negative runs" can, and will happen and I needed some insight into the long-term viability of my system. Also, I'm not a math major.

Then LEARN THE BASICS OF STATISTICS.

Math major? To be clear - I learned that crap in school. Not university. While this is not high school level, it was required knowledge to pass university permission where I lived (German Abitur).

You will live and die with statistics when you do trading. Saying "hey, I am clueless" will not help.

There are some good books to read.

"Fooled by Randomness" and "Trading Systems - a new approach to system development and portfolio optimizations". Both deal with the statistical side and how to analyze results data and make sense out of it.

Quote from PlannedTrades:
Oh no... not that age ol' "sample size" excuse again! Warren Buffett has a sample size of less than 100 investments, btw.
[/B]

These are investments, not trades. And they cover a great many years.

Another hint - regardless of sample size, your TIMEFRAME is too small to make long term conclusions. You should at least cover 3-5 years to know how stable your results are. Maybe you just got a lucky year? The behavior of various markets changes in cycles, and 9 months is not enough to even cover a yearly cycle (and yes, in many markets those exist). For example I can make a 9 month sample without a winter - and a great many things are different in winter (energy consumption and payments for example for those countries that have winter at the moment).

I could show you quite some diagrams of trading approaches that fail to work or work very well in a 1-2 year timeframe. 9 Months now is full in the QE cycle - no real bust. VERY distorted market. No long term viability possible. Backtest on 5 - 10 years. Results should be similar to indicate stability.

 

[PlannedTrades]

Guys, I hear you about 9 months possibly being a luck of the draw... THAT'S why I was asking for input (to see if I just got lucky, or what). Also, to establish a 3 to 5 year track record one must extrapolate from real market results from day 1 anyway - not to mention back-testing. So technically speaking... day 1 should provide as much relevant information as day 1,000 - on an individual basis - i.e., Buffett's first couple of successful investments are really what hooked his initial investors on, but they would hardly be regarded as gamblers (even back in the day).

For the record, I DID perform back-testing on the two currency pairs as well (including commissions), and it yielded similar results as the ones with real money, but of course running some algorithms would provide a more speedy, and accurate analysis because there's only so many calculations I can do by hand. So I haven't looked at other currency pairs yet because these two do the job, and have tight spreads. If I had an algorithm scanning 22 currency pairs in the fx market on a 24/5 basis then my system would generate > 1,000 trade entry signals (on the time frame I am currently trading) - though more than half would be "duplicates" in a sense because they cover similar base currencies. Taking this down to a lower time frame would mean > 30,000+ sample trades... there's no way I can backtest that without an algorithm. I'm primarily a swing trader anyway.

Anyway, I guess I'll just keep trading this. The way I see it I never lose more than 2% (and in most cases less than this) so if I don't make anything going forward, no biggy... least I'm not losing much. My system reinvests profits to compound results as it consistently risks a fixed % of capital on every trade.

Btw, in case it isn't obvious, this is a trend-following system, and I am convinced it works in the stock, and futures markets too - probably even BETTER since individual stocks trend better, and not as much leverage available so one is less capable of trading too large.

I think I might hire a programmer to do some back-testing, on all of these markets, but the usual fear lurks... that if this system truly delivers the types of results I have been getting then it'll stop working after the programmer steals it, lol. He could sell it to a hedge fund, and after multiple sales everyone will have the source code, and it will become inefficient. Probably just an irrational fear, but I'm human.

 

[chaykapwr]

[

Oh no... not that age ol' "sample size" excuse again! Warren Buffett has a sample size of less than 100 investments, btw.

What are you talking about ?

Do you mean his portfolio is less than 100 investments? Or in his career he made less than 100?

The first point is true, he probably has 40-50 stocks in his portfolio. But his investment strategy (even tho its fundamentally focused instead of TA) has been tested over thousands and thousands of trades--thats why he is worth what he is.

If you think your 9 month TA system is on the same level as Warren Buffet, then you dont need our help...you need a psychiatrists help...