trend following delusion shattered

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Quote from OddTrader:

Probably win-rate should not be the only or main measure to evaluate a system, I believe.

Do you find the Robust Statistics mentioned in Ryan Jones book The Trading Game useful?

Would like to know any details for a minimum set of performance measures (such as win-rate, profit factor, etc.) you would have in mind for different types (such as trend-following, antitrend, etc.) of profitable systems on average standard. Thanks. :)
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i think win rate is close to the bottom of importance relative to performance, but relative to discipline required some people need it higher for that satisfication.

I havent read Jones book.

I would like average annual return to be over 30%, profit factor over 3, maxDD under 40% for trendfollowing. also if there is going to be a big trend my model should catch this, i check this by eye, by going over heaps of big trends and actually seeing where my model got in and out.

ive attached a performance report from 1 of my trendfollowing system from 1995 - 2005 on 100 nasdaq stocks.

what is wrong with 30% per year?
 

Attachments

Well, its not a query. Read it again. It is a statement. The question was answered and explained in excruciating detail.

What is your response? So far it is "no response"

We (the royal "we") know what that means.
 
Quote from 5yrtrader:

No, I am suggesting that you don't worry about d, setting profit targets is the worst thing you could do. There is no rule for how much you make per trade, why would you want to limit your profits? Thats like saying I only want to make $100,000/year thats my profit target. If you give me more I will quit my job after I have made my $100,000/year. Please stop asking this stupid question. No one is giving you an answer, because there isn't a good answer. Now please move on.

5yr
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Setting d is not about a price target. It's the minimum expected price differential between prospective entry and exit, which a trader should come to some sort of conclusion about before making a move.

That is what d is in the challenge question, which I repeat for purposes of reference:

What is a reliable method that can be applied to past price action to determine a usefully large positive or negative number d such that (p1-p0)>=d, where p0 is the current market price and p1 will be the market price in the near future?
 
Quote from NickelScalper:

Setting d is not about a price target. It's the minimum expected price differential between prospective entry and exit, which a trader should come to some sort of conclusion about before making a move.

That is what d is in the challenge question, which I repeat for purposes of reference:

What is a reliable method that can be applied to past price action to determine a usefully large positive or negative number d such that (p1-p0)>=d, where p0 is the current market price and p1 will be the market price in the near future?
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Ok so what you are asking is for a system where the average trade = d.

In this case, d is any value larger than commissions and a liberal slippage allowance. So if a trend system trades beans, and you expect 3 ticks slippage and $10 r/t commissions, then you would profit if the average trade > $47.50.

This is essentially what you're asking; a minimum expected price movement based on a trend entry.

Well, there you have it. Apply slippage and commissions to 5yrtrader's system and if the average trade is still > 0, then the system is likely valid, and you're wrong.
 
Quote from NickelScalper:

Setting d is not about a price target. It's the minimum expected price differential between prospective entry and exit, which a trader should come to some sort of conclusion about before making a move.

That is what d is in the challenge question, which I repeat for purposes of reference:

What is a reliable method that can be applied to past price action to determine a usefully large positive or negative number d such that (p1-p0)>=d, where p0 is the current market price and p1 will be the market price in the near future?
More...

Like you, we have memorized that irrational formula. Of course we were forced on it. I thought I would make one last attempt to see if there is "life on that planet" sitting between your shoulders. Since you can't figure price out on your own I plugged in all the figures for you.

p0 = Current Market Price (If taken from price pulling away from confirmed fixed, not calculated, Support or Resistance)
p1 = Target last sequential and corresponding confirmed Support or Resistance price. (since Nickel is Rationally Challenged I will detail: target is Support if Short or Resistance if Long)
d= Range between entry to target exit.

Now I know this is a lot to ask but you have to find the fixed value for Support or Resistance to make this work. Us imaginary trend traders know these values like family members. This takes skill in object reasoning so if you aren't able to accomplish that, someone at a local elementary or high school should be able to help you. It is the same skill a carpenter needs to hit a friggin nail.

There all nicey nicey with an explanation for you. Maybe a little too complicated for you but gee, a gin & tonic seems to be rocket science where you are concerned.
 
Quote from hanseng1:

Ok so what you are asking is for a system where the average trade = d.
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No.

The trader sets the minimum value of d so that if the calculated price differential between prospective entry and exit is less than it, no trade is made.
 
THE TOP TEN REASONS TO BECOME A STATISTICIAN

Deviation is considered normal.
We feel complete and sufficient.
We are "mean" lovers.
Statisticians do it discretely and continuously.
We are right 95% of the time.
We can legally comment on someone's posterior distribution.
We may not be normal but we are transformable.
We never have to say we are certain.
We are honestly significantly different.
No one wants our jobs.

I found this in another thread, by Oddtrader. Oh, how appropriate it is here!
 
Quote from NickelScalper:

No.

The trader sets the minimum value of d so that if the calculated price differential between prospective entry and exit is less than it, no trade is made.
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LOL

ok you're right and I'm wrong. I guess I should've been trading with "d's" all this time.

Good luck scalping for nickels using "d's".
 
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