POLL: Your choice of a positive expectancy system

Quote from Fluidity:



OH BOY :eek:

Dannyboy,

Are you so sure that the higher win % will produce the higher DD to Net Ratio? Perhaps it is the overall expectancy or profit-factor that holds the most weight?
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aren't the position sizing implications of higher % accuracy methods obvious?
eg: you have a 90% system... position size goes up, up and away!
expectancy holds the two systems i discussed (earlier) to be equal. but the actual dollar profits possible depend on position size. and, quite simply, higher % means easier to increase size.
and, also quite importantly, it allows you to capitalize more on periods of time where your style is really working well.

put that in your container :D

that's all in fairytale land anyway, cos as olhc rightly pointed out, you'll reach the upper limit of liquidity pretty quickly. still, if you're method involves trading ES or eurostoxx, you're on a winner!
 
Quote from daniel_m:






aren't the position sizing implications of higher % accuracy methods obvious?
eg: you have a 90% system... position size goes up, up and away!
expectancy holds the two systems i discussed (earlier) to be equal. but the actual dollar profits possible depend on position size. and, quite simply, higher % means easier to increase size.
and, also quite importantly, it allows you to capitalize more on periods of time where your style is really working well.

put that in your container :D

that's all in fairytale land anyway, cos as olhc rightly pointed out, you'll reach the upper limit of liquidity pretty quickly. still, if you're method involves trading ES or eurostoxx, you're on a winner!
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IF the expectency is equal then yes the higher win % will produce the higher DD/Net ratio, but a high % does not equate to a better expectency...

The profit factor or expectencey will hold the wieght when it comes to a high DD/Net ratio and in my own direct experience it has always been my low win % / high r-multiple 'styles' that have produced the best profit factors and in turn the best dd/net ratios on the macro scales...

Of course these are not the only factors to take into account though, because you still have the 'size cieling' and the 'opportunity' factors to size up...
 
Quote from Fluidity:

IF the expectency is equal then yes the higher win % will produce the higher DD/Net ratio, but a high % does not equate to a better expectency...
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you don't say ....

:D


Of course these are not the only factors to take into account though, because you still have the 'size cieling' and the 'opportunity' factors to size up...
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well, we're discussing this ceteris parabus, remember.. (don't you love latin terms!:D)

i agree with you dude (you know that)... i regard with extreme suspicion anyone that claims accuracy of over 75%, especially if it's on multiday+ timeframe... so, like i said, i don't even regard what i'm saying as any realistic possibility... i'm convinced that if we wanna be profitable in longer time frames we need to forget about the %accuracy crap....
still, it would be so nice to hit 80% wouldn't it....
just think, you increase the size and don't have to worry about hitting a rough patch.... cos @ 80%, what's a rough patch? 3 losers in a row? you don't even bat an eyelid...
whereas, with the lower % you have to decrease size if you start losing, well, at least that's what all the wizards recommend...








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Quote from candletrader:



I take your point that there can be evidence indicating the nature of the current environment... but then, of course, you are introducing another factor into your decision process... your approach is totally valid if thats the way you wish to play the game... personally, I would have great difficulty switching between strategies on potentially a half hourly basis (imagine being in scalping mode and to bail for 5% of what you could have made on one trade, and THEN to go into trend trading mode and to have the price pop up and retrace on you)... for me, I prefer a consistency of approach, but your comments do indeed have merit and perhaps the moderator can introduce your comments as a third option in the Poll...
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Candle,

I did not mean to imply that it was easy to balance to the two approaches and flow with the 'changing seasons', but it is possible and like wise man once said "In the middle of difficulty..."

The key for me is to be resolved before ever putting on the play.

There is an old Zen saying;
"If you are going to walk; then just WALK! If you are going to sit; then just SIT! Above everything DO NOT WOBBLE!"

While in the play, I find it entirely too difficult to switch gears from 'sitting' to 'walking'...

Our thoughts are definately in accord when it comes to consistencey -- BUT -- ridgety does not equate to consistencey and like a wise man once said "foolish consistency is the hob...."

Nothing worst then swinging for the fences in the wrong environment and being rewared a handful of cactus to chew on, but in the same vein it always sucks to take just one slice of the pie when she is making 8 availible...

If she were 'static' and making the same thing availible at all times then I would say just choosing one 'style' to focus on would be the 'best' way to go about it, but she is ever flowing so I think doing the same is the 'way' to go...

PEACE and good-trading Candle
 
By the way, another problem with high% strategies is the detail of the trades distribution. With a low expectancy and an unfavorable actual trade distribution(ie : the possibility of loosing streaks), it can be highly possible that thel expectancy of an elaborated money management will only be realized in such a long time, that practically, the use of this MM will not be possible.


OHLC

Quidquid latine dictum sit, altum viditur:D
 
I primarily trade low probability approaches, based on my research, I have found that high probability approaches are usually highly optimized and are not as robust, they typically last only a few months then go bust.

Just curious how long do you usually trade these high probability systems before you need to revamp them.

Most of the good strategies that I have worked with over the years never had a probability of over 45%. I try to find non-correlated mkts and systems so to smooth out the equity gyrations.

Good luck Trading
 
Quote from candletrader:

The point of this thread is not to go into specific strategies, but to discuss things at the more general level, irrespective of the specific strategy employed...
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I see your intent Dr. Candle. However given that the majority of ET members seem to be involved with very short term trading, I was anticipating a poll result of about 80% for option 2.

OPC
 
Quote from Fluidity:

The key for me is to be resolved before ever putting on the play.

There is an old Zen saying;
"If you are going to walk; then just WALK! If you are going to sit; then just SIT! Above everything DO NOT WOBBLE!"

While in the play, I find it entirely too difficult to switch gears from 'sitting' to 'walking'...
More...

...

Live by the sword, die by the sword.
 
Quote from OPC:



I see your intent Dr. Candle. However given that the majority of ET members seem to be involved with very short term trading, I was anticipating a poll result of about 80% for option 2.

OPC
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To be honest with ya, it doesnt really matter whether you can guess at 80% or not... the point of this thread is NOT to impress others with guesses at percentages(!!!)... the point of this thread is to stimulate discussion on differential win%, avg win: avg loss approaches....
 
Thank you to zboy (moderator), for introducing option 3, in response to the comment that I received from one of the thread participants (Fluidity)...
 
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