Trading Math - Part I

[virtualmoney]

Quote from kut2k2:
Can you prove it?

Can I prove a simple MA is a total ruin system? This has baffled traders for eons.
Actually I wondered, if I have many MAs simultaneous entry and exit with multiple settings , say one combo is as shown: how would the total outcome as a whole matrix be?

10 lots entry per combo = 50ma cross 200ma, 40 cross 180...,for 5 different combos

10 separate exits for each combo = price cross 10, 20, ...,100ma

 

[the1]

It sounds like you're saying if there isn't a target or a time the system quits - i.e. a stop or target hit, the system will be wiped out.

If that's what you're saying it has no meaning because if you set a target and a stop at, lets say 4 points target and 2 points loss your win/loss ratio is not 2:1 because the market is random. You base your target on what? A previous high or low, or Fib, or some point of your choosing? It's utter nonsense. The market doesn't care what your target is and it's meaningless. This is the most mis-understood concept in trading so your statement could easily be reworded to say if there <b>is</b> a target and quit time the system will eventually end in ruin.

A trader's job is to take advantage of opportunity when it is offered to you and take what the market offers. Just because you have a target of 4 points doesn't mean the market agrees with that. If you can't learn how to read price action and movement your system will end in ruin. Price action is as close to the holy grail as you'll get.

Quote from intradaybill:

Statement 1:

For any trading system, with any parameters, if there is no target quit time or target profit after which it quits, eventually there will be total ruin.

I invite all the brains here to either prove or disprove Statement 1.

...and learn something...

 

[kut2k2]

Quote from the1:

It sounds like you're saying if there isn't a target or a time the system quits - i.e. a stop or target hit, the system will be wiped out.

If that's what you're saying it has no meaning because if you set a target and a stop at, lets say 4 points target and 2 points loss your win/loss ratio is not 2:1 because the market is random. You base your target on what? A previous high or low, or Fib, or some point of your choosing? It's utter nonsense. The market doesn't care what your target is and it's meaningless. This is the most mis-understood concept in trading so your statement could easily be reworded to say if there <b>is</b> a target and quit time the system will eventually end in ruin.

A trader's job is to take advantage of opportunity when it is offered to you and take what the market offers. Just because you have a target of 4 points doesn't mean the market agrees with that. If you can't learn how to read price action and movement your system will end in ruin. Price action is as close to the holy grail as you'll get.

The original question is silly. To prove it or disprove it, you have to first assume you have an infinite price series, which is a fantasy.

For example suppose I posted a disproof via a counter-example that was profitable from the IPO of a price series to now. Then the OP can claim the series didn't go long enough to reach failure.

This fails the test of being mathematics. Next.

 

[intradaybill]

Quote from kut2k2:

The original question is silly. To prove it or disprove it, you have to first assume you have an infinite price series, which is a fantasy.

For example suppose I posted a disproof via a counter-example that was profitable from the IPO of a price series to now. Then the OP can claim the series didn't go long enough to reach failure.

This fails the test of being mathematics. Next.

I think you try very hard to prove you have no clue of what you are talking about. Like in several other situations in the past.

I talked about a trading system, not buy and hold.

Do you know what a trading system is? Have you actually used one? Do you understand the difference between a trading system and buy and hold investing?

I am not even talking about infinity but your math skills are limited as you have already proven by confusing random variables with their values.

For some trading systems, the probability of ruin gets very large after a few trades or when the bankroll is doubled, for example.

 

[cap'ncod]

Quote from Lucrum:

You know when you start thinking everyone else is an asshole, it's time to consider maybe "they" aren't the problem.

LOL Wise words!

We're all just poking around in the dark. Can't do anything about central/ GS type bank manipulation. You can do all the maths you want but if the big governments want to push a price somewhere they'll do it and you'll be the last to know. Forgetaboutit!

 

[oldtime]

If you have a stop in place, it's no longer buy and hold, it's a trading system, even if you have no target and hold for the rest of your life.

 

[kut2k2]

Quote from intradaybill:

I think you try very hard to prove you have no clue of what you are talking about. Like in several other situations in the past.

I talked about a trading system, not buy and hold.

Do you know what a trading system is? Have you actually used one? Do you understand the difference between a trading system and buy and hold investing?

I am not even talking about infinity but your math skills are limited as you have already proven by confusing random variables with their values.

For some trading systems, the probability of ruin gets very large after a few trades or when the bankroll is doubled, for example.

Silly man, you propose a "math problem" without defining a single one of your variables. Give us a mathematical definition of "trading system". Yeah I didn't think so.

There is no generic price series, no generic trading system, no generic trading parameters, no generic target level nor a generic target time. Yet you naively ASSume there is a mathematical solution to your childish question.

Long overdue:

imbecilebill >> ignore.

 

[goodgoing]

Quote from kut2k2:

imbecilebill >> ignore.

I think your first step should be ingoring yourself. Aren't you the one who claims that he discovered better adaptive moving averages than sliced bread?

 

[intradaybill]

Quote from kut2k2:

Give us a mathematical definition of "trading system". Yeah I didn't think so.

After 2398 posts you are still looking for someone else to give you a mathematical definition of a trading system.

Why do you stupid, psychotic moron think you need a mathematical definition of a trading system to answer the question I posed?

Do you psychotic idiot think that you need a mathematical model of a car to understand that if you drive fast you will get a speeding ticket you imbecile?

Just go to hell man and never come again to any of my threads. You have nothing to contribute but psychosis.

 

[kut2k2]

Quote from goodgoing:

Aren't you the one who claims that he discovered better adaptive moving averages than sliced bread?

Wasn't me. I've never written the words "sliced bread" in this website before now. But I do have adaptive MAs better than anything you'll find in the public domain, for what it's worth. And they're not black boxes I bought from some vendor(s).