Simple system - example

[MrMuppet]

I have a system in mind:
- enter a trade at set times - every 20 minutes
- fixed SL and TP where TP = 2 x SL
- SL and TP distance from the entry price decided by the market range over 20 minutes (100-period moving average) so that a trade does not last longer than 20 minutes, statistically
- long/short - decided by a coin flip
- position size - increased when daily PnL reaches certain value

Do you think this system could be profitable?

You are just betting on autocorrelation. If your market features autocorrelation, system works. If it doesn't, system won't work.

Market only moves randomly when you don't know what you're doing

 

[schweiz]

fixed SL and TP where TP = 2 x SL

This means that you need more than 67% of winning trade sto stay out of losses. And then I don't even count slippage and commissions in. And then you still make no profit.

 

[d08]

Why not? MArkets move randomly in short term so this system exploits this fact

Approach it from a different angle. If it was that easy and this is doable on any time-frame, why would anyone bother with anything else? They'd just diversify this strategy across markets and become billionaires.

 

[They]

OK. Let's leave trading aside. Imagine a game with following rules:
- we flip a coin: heads - you win, tails - you lose
- you decide on the size of a bet
- when you lose, you lose your bet, but when you win - you get 2 x your bet

Would you play this game? I claim that a player can win this game by adjusting his bet size, depending on the series of winners and losers. That is the secret to this game, and to trading/casino etc.

https://en.wikipedia.org/wiki/Gambler's_fallacy

 

[Overnight]

...

This is the frequency vs % daily change bar chart for DJI. 2008 is included to show worse case example.

An interesting chart. It would be cool to see this chart based on frequency vs number-of-tick daily change, and see if they are close to the above.

 

[Peter8519]

Sorry, I do not have intraday data. It's not a difficult process. I do it in Excel and use the FREQUENCY function.

 

[JackRab]

It's kinda like a martingale strategy... and there are multiple issues with that.

- fees
- long losing streak
- missing SL, but always hitting the profit target