Trading Lessons/Insights From Coin Flipping

[intradaybill]

Quote from Mike805:

I actually got another PM a while ago that was a bit telling as well. The message consisted of telling me that I shouldn't be giving away this material... I do kind of agree with that person so I'm not going to spell out the entire idea here, but I'll drop hints.

This is what you said before:

Quote from Mike805:

This is a thought experiment...

And, what's wrong with thought experiments? That's really all we are doing here. Why are you so closed to new ideas?

and this

Quote from Mike805:

I'm glad these results have gotten people to ask a variety of questions, that was the motivation for me.

and this

Quote from Mike805:

I'm not intending to prove anything here... Oh yeah, obviously, there may or may not be any "realism" in these experiments, but they turn out results that are open to discussion .

There is an obvious conclusion Mike. You are playing with the minds of the few that have fallen into the trap of listening to a loser like you.

First you say you are doing a thought experiment but then someone secretly tells you not to reveal the answers. If there are stupid people here that believe you, it is their problem.

 

[Craig66]

Quote from tradingjournals:

To all: If you can generate a strategy that leads to trade outcome that form a normal distribution (holding time should be constant), I think I have the knowledge to turn it to a profitable strategy.

Do you mean normally distributed P/L outcomes?

 

[Craig66]

Here are some of the equity curves from my testing on the SPY.
This is the first condition, as expected, not very good.

 

[Craig66]

Next we reverse the condition.

 

[Craig66]

Now we add in the random...doing this simply seems to 'randomize' the outcomes, though I can only post one run generally they range from about break even to better than the last one. So I'm not sure the random part does anything apart from being random. One does notice that most of the profit (random or otherwise) comes in times of higher volatility, so some type of volatility gating may help. Still not quite sure where this is all going...

 

[Craig66]

...or maybe it doesn't help, here is condition2 with no random with the extra clause that VIX > 25. I can't rule out a f**k up in my coding.

 

[masterjaz_99]

Quote from Craig66:

Next we reverse the condition.

Craig66,
Curious about this result. If the condition is reversed, aka go short rather than long, the equity curve should just be a mirror image about the 0 line, or so I would think.

Let's keep testing!

masterjaz

 

[Craig66]

Curious about this result. If the condition is reversed, aka go short rather than long, the equity curve should just be a mirror image about the 0 line, or so I would think.

If you compare the actual trades, they are inverse, it's just commission that is skewing it. (maybe some of the slip/com assumptions are a little heavy handed).

 

[Craig66]

Ok, I think I get it now, this system is a reformulation of the Mike posed in the 'Developing a system on random data' thread, the random part of the system is the normal variable in the exercise. I'm guessing this is some variation on the 'Monty Hall' problem. Am I heading in the right direction?

 

[intradaybill]

Quote from Craig66:

Ok, I think I get it now, this system is a reformulation of the Mike posed in the 'Developing a system on random data' thread, the random part of the system is the normal variable in the exercise. I'm guessing this is some variation on the 'Monty Hall' problem. Am I heading in the right direction?

No, it has nothing to do with the Monty hall problem. In that problem you know the outcome of your second selection and you are asked whether you want to reconsider your original selection. In trading, this cannot be done. You cannot go back and change the original selection.