Math Challenge/Find better Position Sizing

[sysdevel99]

I need help !! I'm working on a system and attached are my trades (this is the output of one monte carlo run that's somewhere in the middle).

Here's what I need help with:

If I calculate the median of these trades I get ~ 118. If I look at the average of these trades I get only 22.8. This tells me that there are some serious losers that skew the average way down. The system already has stops (time/profit/loss) but I'd like to maximize my profit. I'm wondering how I can do that? (initial thoughts are to increase my position size after a loss).

Who can figure out a position sizing mechanism that's simple and gets the average closer to the median?


517.46

549.86

524.56

-97.32

240.77

113.75

-13.66

-214.19

-216.78

114.59

-56.13

-211.46

-114.48

137.77

126.69

352.93

119.34

-200.09

-348.9

154.42

189.36

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115.35

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192

358.74

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476.01

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138.39

322.82

238.34

451.87

398.98

-19.9

138.81

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160.61

307.22

281.36

140.01

111.18

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173.97

139.69

328.36

201.57

193.17

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147.96

226.51

317.75

339.98

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308.81

125.57

114.68

91.12

305.89

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146.24

123.38

263.55

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192.27

141.7

124.58

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156.93

538.49

256.42

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1052.33

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305.1

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160.35

155.56

134.89

248.12

434.51

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224.92

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-39.65

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248.62

187.22

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155.84

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257.55

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102.86

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218.02

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102.78

138.03

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419.2

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158.73

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158.25

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478.98

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106.22

348.78

491.07

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174.05

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239.42

191.3

189.02

221.88

161.97

191.13

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310.49

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19.84

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215.77

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112.71

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106.07

20.14

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176.77

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116.55

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192.57

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111.81

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171.57

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26.29

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103.44

275.53

282.96

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284.3

172.51

135.3

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200.22

236.87

177.58

161.61

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150.77

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142.45

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213.39

282.93

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295.3

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241.6

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186.34

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175.21

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320.48

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166.25

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281.97

26.23

55.78

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103.07

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130.67

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174.54

482.02

715

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231.34

-64.5

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471.84

407.74

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491.39

504.54

329.61

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130.06

112.06

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139.87

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110.5

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120.91

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222.69

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178.48

 

[tommcginnis]

• You have no idea of what's going on.
• You have cherry-picked a run "somewhere in the middle" -- so this is BUT ONE, SINGLE data point, which you THINK comes with some Monte Carlo bona fides. Wrong. SINGLE data point.
• You present 'trade outcomes' as if there were meaningful outcomes there -- that's like claiming to be a great fisherman by virtue of the number of fish caught, without telling us the species, the water, the time of day, the sunlight, the lure used, the depth targeted, whether stocked or natural populations, or whether the fish in fact were CIRCLING AROUND IN A BARREL.
• You ask for input on "better position sizing" without telling us anything of the positions you've already worked.

Being able to code does not make you a programmer. Being able to program does not make you a computer whiz. HAVING a computer and a small clue about coding and what "Monte Carlo" means -- that doesn't make you a trader.

There are some people here who have FINE books out there, from which you are probably smart enough, right now, to gain A LOT. Here's two:
https://kjtradingsystems.com/index.html
https://www.systematicmoney.org/systematic-trading

 

[nooby_mcnoob]

Well deserved burn

 

[sysdevel99]

Great input tom, rather than answering just bashing it with full force - your tribe of "experts" will give you the head nod that only a small subset of you elite traders are deserving and the rest of us are just a bunch of idiots.

• You have no idea of what's going on.
>>Probably true - thanks for reminding me and pointing this out, this really helps
• You have cherry-picked a run "somewhere in the middle" -- so this is BUT ONE, SINGLE data point, which you THINK comes with some Monte Carlo bona fides. Wrong. SINGLE data point.
>>You can make the argument that every thing one selects is cherry picked - The data point is an "average" outcome. I can take any of the runs, the outcome will be the same, the median is significantly higher than the average. If it's 118/22 or 116/25 - it really doesn't matter - but you knew that
• You present 'trade outcomes' as if there were meaningful outcomes there -- that's like claiming to be a great fisherman by virtue of the number of fish caught, without telling us the species, the water, the time of day, the sunlight, the lure used, the depth targeted, whether stocked or natural populations, or whether the fish in fact were CIRCLING AROUND IN A BARREL.
>>Yea - not going to share my specifics with the elite - for argument sake assume that this is buying or selling GDX and the P&L includes commissions - not sure why this matters on the ask
• You ask for input on "better position sizing" without telling us anything of the positions you've already worked.
>>There's only one position open at any time - just like in roulette - rien ne va plus

Being able to code does not make you a programmer. Being able to program does not make you a computer whiz. HAVING a computer and a small clue about coding and what "Monte Carlo" means -- that doesn't make you a trader.
>>Thanks for the insight - I'll frame it and put it over my bed so I can remember every single day how non elite I am compared to you.

I know you know this but there was nothing meaningful in your response other than your assumption that everyone posting here is an idiot - if you don't know how to improve the position sizing based on the input data, just don't reply, no need to be so unpleasant

 

[rb7]

I scrolled down so long that I can't remember what was the original question.....

More seriously, my advice: Don't try to overfit your backtest trades.

And median and average P/L of trade are not very useful in terms of strategy evaluation (if your goal is to make money!).
Most important is what's you risk-reward ratio, drawdown, sharp ratio, etc.

But anyway, without anymore information from your strategy, I doubt that you would get some useful advice here or anywhere else.

 

[Option_Attack]

JMHO but it's never seemed worth it to me to try to exactly engineer trade size (like kelly) based on system "results." Real life trading gets in the way of smooth returns and max excursions. I'd just adjust trade size based on account size and equity curve. Adding to losers can be a slippery slope and needs to be well thought out, and safely within a certain max trade size.

Also if the system is a loser (P/L -$118?), trade sizing isn't going to help much.

 

[Overnight]

...no need to be so unpleasant

Your post was unpleasant, in that you posted a string of numbers so long that people's mouse-wheels have lost half their life in trying to get to the bottom of the list.

Do you honestly expect people to enter every one of those numbers into a spreadsheet for you to figure out if your have the proper mean, median and mode of them?

 

[tommcginnis]

Your post was unpleasant, in that you posted a string of numbers so long that people's mouse-wheels have lost half their life in trying to get to the bottom of the list.

Do you honestly expect people to enter every one of those numbers into a spreadsheet for you to figure out if your have the proper mean, median and mode of them?

Yyyyyyyyyyyup.

 

[Overnight]

I need help !! I'm working on a system and attached are my trades (this is the output of one monte carlo run that's somewhere in the middle).
...

When you think your trade has reached the peak of the adverse move, just add in the same direction with 10 times your initial entry size. Problem solved. Good luck on that average down technique.

 

[2rosy]

take the first derivative of the expected value of log utility