Psychologically tolerable win-rates

G

garchbrooks

What kind of win-rate are you guys out there comfortable with? I've got a few strategies that are 57-65% win rate strategies with positive edge on out of sample tests, but I still hate losing. I'm still running this strategy, but it begs the question: What's your threshold for "psychologically feasible" win rates?

I've run trend-following strategies with 30% win rates in the simulator, and I had no patience for them on account of their win-rates being so dismal.
 
Quote from garchbrooks:

What kind of win-rate are you guys out there comfortable with? I've got a few strategies that are 57-65% win rate strategies with positive edge on out of sample tests, but I still hate losing. I'm still running this strategy, but it begs the question: What's your threshold for "psychologically feasible" win rates?

I've run trend-following strategies with 30% win rates in the simulator, and I had no patience for them on account of their win-rates being so dismal.
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You don't choose a 'win-rate', it chooses you.
 
Depends on the position size you're trading with. I have I swing trading system/method that has a 45% win rate that risks 0.5%. Historically, I can have up to 20 losers in a row but then that's only 10% of my account.

Now If I was risking 2% per trade, that's a different story.....
 
I look for set-ups that have at least a 60% win rate to cut down on variance. I do not like the wilder swings that lower win %'s create. I prefer a steadier zig-zag increase in capital.

Joe.
 
Quote from Dackster:

You don't choose a 'win-rate', it chooses you.
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Well, I meant to make the assumption that the real world isn't extremely far from my out-of-sample results.
 
Quote from garchbrooks:

Well, I meant to make the assumption that the real world isn't extremely far from my out-of-sample results.
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Look, at any one time you should be running your most profitable system, so why should your 'win-rate' be such an issue?
 
Quote from Dackster:

Look, at any one time you should be running your most profitable system, so why should your 'win-rate' be such an issue?
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Um, you can ignore this comment, Dackster doesn't seem to have a clue. As mentioned previously, position size is key in determining what you can tolerate. I've often wondered why more people don't use a lower risk/reward (like 1:3 or around there) to smooth out their equity curve. People are always insistent upon having their winners be a large multiple of their losers but I don't really understand where all the value in that is. It's just a mantra that makes sense logically but isn't for everyone. I posted something about this awhile back, I'll have to go re-read it:

http://www.elitetrader.com/vb/showthread.php?s=&threadid=129887&highlight=ratio
 
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