(This might need a thread of its own soon...)
I don't understand being in error. Let me rephrase what I was trying to express: if we generate a series of random entries (bracket orders, fixed predefined loss and profit sizes, no signal per se) on any instrument (even a random walk), wouldn't the profit/loss ratio of the bracket be inversely proportional to the win percentage by virtue of probabilities? Fishing for a 1000-tick gain with a 2-tick stop-loss, to me it seems, would yield an overwhelming majority of stop-losses, in random or trending instruments alike, as price would be more likely to meander 2 ticks beyond our entry before it reaches 1000 ticks the other way. Conversely, a 2-tick profit target against a 1000-tick stop-loss would hit the target more often than not. (While of course, incurring massive losses, but those are beside my point.) I know markets aren't quite Brownian, but I still can't shake the "common sense" (to me) vision that the closer level to entry has a higher probability of being reached before the far one, at the very least in the case of a random entry.
If I had the tools, I'd whip up a quick test run myself. I need to learn R...
Thanks about the use of "discretionary". I meant it as manual execution of a system, which in this case of tape reading does involve discretion (which is why it cannot be automated). I realize a mechanical technical system could leave discretion out entirely.
I don't understand being in error. Let me rephrase what I was trying to express: if we generate a series of random entries (bracket orders, fixed predefined loss and profit sizes, no signal per se) on any instrument (even a random walk), wouldn't the profit/loss ratio of the bracket be inversely proportional to the win percentage by virtue of probabilities? Fishing for a 1000-tick gain with a 2-tick stop-loss, to me it seems, would yield an overwhelming majority of stop-losses, in random or trending instruments alike, as price would be more likely to meander 2 ticks beyond our entry before it reaches 1000 ticks the other way. Conversely, a 2-tick profit target against a 1000-tick stop-loss would hit the target more often than not. (While of course, incurring massive losses, but those are beside my point.) I know markets aren't quite Brownian, but I still can't shake the "common sense" (to me) vision that the closer level to entry has a higher probability of being reached before the far one, at the very least in the case of a random entry.
If I had the tools, I'd whip up a quick test run myself. I need to learn R...
Thanks about the use of "discretionary". I meant it as manual execution of a system, which in this case of tape reading does involve discretion (which is why it cannot be automated). I realize a mechanical technical system could leave discretion out entirely.
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