What it takes to develop a profitable trading system?

[ironchef]

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I just noticed you live in Southern CA. We just moved from Southern CA (Carlsbad) in Sept
2016 to cold and snowy North Eastern WA (2 miles from the North Western Pan Handle
of Idaho). We went from being 1 block from the beach in Carlsbad, 60 to 80 degrees year around, to 20-30 degree winters with snow, trapped like a mushroom indoors.
I really miss SoCal! (We moved here because family and friends live here.)

And I used to live within walking distance to the beach in OC, but now a few miles away. I miss the beach too, seems there is something about the sea/ocean that attracts people, so I do understand your feeling.

Take care.

 

[jeffalvinson]

And I used to live within walking distance to the beach in OC, but now a few miles away. I miss the beach too, seems there is something about the sea/ocean that attracts people, so I do understand your feeling.

Take care.

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We at least get to see water everyday out of all the windows facing the lake.
Attached is a picture of our master bedroom window when we wake up in the morning and the cat is sitting in it.

 

[ironchef]

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We at least get to see water everyday out of all the windows facing the lake.
Attached is a picture of our master bedroom window when we wake up in the morning and the cat is sitting in it.

Nice!

 

[ironchef]

userque and Simples,

I tried it. It worked.

Really neat! To be able to calculate a do loop within Excel, priceless.

userque and Simples,

Here is a first cut:

Ran a Monte Carlo using Excel circular, calculated outcome vs Kelly, fraction Kelly, etc. I used win rate of 50:50, 0.6 if win and 0.5 if lose. Trade once a day, simulate 200 trading days. This is equivalent to a bracket entry with a 0.6 win and 0.5 lose exit and 50;50 the stock is going up:down. Overall it will produce a positive expectancy with infinite capital and infinite number of trades.

I could see that the risk of ruin was 100% with all in trades, quite likely with Kelly but much lower with 1/2 Kelly. With 1/10 Kelly, within a reasonable # of runs, risk of ruin was near zero.

I know it is obvious to you folks but having simulated with Monte Carlo gave me a comfort level that a theoretical calculation could not provide. So, I will trade with <1/4 Kelly size from now on.

Regards,

 

[userque]

Appreciate the update. Nice that you figured out how to make it work!

There are few things more soothing than a proper simulation.

userque and Simples,

Here is a first cut:

Ran a Monte Carlo using Excel circular, calculated outcome vs Kelly, fraction Kelly, etc. I used win rate of 50:50, 0.6 if win and 0.5 if lose. Trade once a day, simulate 200 trading days. This is equivalent to a bracket entry with a 0.6 win and 0.5 lose exit and 50;50 the stock is going up:down. Overall it will produce a positive expectancy with infinite capital and infinite number of trades.

I could see that the risk of ruin was 100% with all in trades, quite likely with Kelly but much lower with 1/2 Kelly. With 1/10 Kelly, within a reasonable # of runs, risk of ruin was near zero.

I know it is obvious to you folks but having simulated with Monte Carlo gave me a comfort level that a theoretical calculation could not provide. So, I will trade with <1/4 Kelly size from now on.

Regards,