Imagine two traders. Al risks 10% per trade with a RR of 1.2. Bob uses a martingale. After 4 losers Al lost 34% of his account. He can recover in 3 trades. After 4 losers Bob lost 15 units and stops the marty. He needs at least 16 trades to recover. ...

How much drawdown can you tolerate?

If I guess your intent correctly I were you I would start here: url

How to create financial seismograph

When reading your first post I thought you wanted to arbitrage two brokers to buils negative spreads. I'm afraid this is not viable due to commissions, latency and requotes. But you say it's not about arbitrage. You pique my curiosity.

Comparing Broker Ticks in Real Time

He says: The financial markets are random. The trade (bet) is adjusted according to the current result One contradicts the other.

(binned per thread starter's request) The Monty Hall Problem appl

The pnl of a trade is the pip movement times the lot size. I assume the movement is positive when the price increases and the lot size is negative for a short trade. 1) is trivially never violated if the lot size is zero. Of course you can't win ...

(binned per thread starter's request) The Monty Hall Problem appl

How are you going to backtest what the reaction of the market would have been using past data now set in stone?

(binned per thread starter's request) The Monty Hall Problem appl

To me there is no need of a Monte Carlo simulation when you already have a close form solution: image Because Mingary gave no null hypothesis to test. He just posted a graph and a riddle ;-) End of my post just above (you posted too fast)

(binned per thread starter's request) The Monty Hall Problem appl

Mingary never said it was about money management, risk management, trade entry, trade exit or anything else. In fact he said nothing at all. He just posted the result of a backtest and you jumped on conjectures. There is no paradox at all in the ...

(binned per thread starter's request) The Monty Hall Problem appl

Mingary says jump and you're all jumping! Pips_Cruiser is very right. The Monty Hall problem is about the decision taken by the host of the game (market) based on the first decision of the candidate (trader) which in turn gives additional ...

(binned per thread starter's request) The Monty Hall Problem appl

Guys, R:R is not something you decide then you search an edge that fit your whim! That's the other way around. You first find some edge then after many trades you see what you R:R and winrate happen to be. Because you asked... Your average profit ...

1:1 Risk Reward Ratio

(I'm not a big fan of MT4/MT5 so I won't use those CCFp-Diff indicators. Especially because the are compiled .ex4) Don't get me wrong I'm not telling you can't make money with correlation. I'm telling you that you can't stumble on a paper presenting ...

Detecting Fake Price Movements - Convergence Divergence Indicator

1- Only allowing minor aged girls to Miss America's contest would save lives! Proof: image 2- American people have to drive very far to purchase chicken. Proof: image If you believe my conclusions are dumb (yes they are) please read this thread ...

Detecting Fake Price Movements - Convergence Divergence Indicator

ROFL so funny. I don't have a real clue but this is just a wild guess: In the US you need deposit a $50M security to the regulation authorities just to allow yourself to say "Hey I'm a broker". It must be the same in the other countries. If ...

Cost of starting an unregulated forex broker business

I remember reading this paper. The author says that he takes a trading decision at every lambda. If you break the bars at every lambda the building method he proposes generates a constant range bar chart. The difference is that lambda is in ...

Machine Learning with algoTraderJo

A random walk is the archetype of a process which IS NOT mean reverting. If the process is way above or below any level, including its starting point, the mean or the median, there is no reason for it to return to this level any soon. It is true ...

FXEZ's Quantitative Research In R

What do you mean guys? Unless I'm mistaken any retail option broker pushes the option chain prices in real time. From this computing IV is easy. I think all of them compute IV for you as well as the realized volatility and the Greeks and display ...

FXEZ's Quantitative Research In R

I may have found something... I generated a walk with winrate=50% and RR=1.3. The expectancy is 0.15. I used 300 samples (trades). Instead of regressing the whole equity history I cut it into 15 non-overlapping sequences of 20 trades (15x20=300). I ...

FXEZ's Quantitative Research In R

You can quite easily get rid of this bias by only using the past portion of your equity curve at each step. That's a running linear regression. Something for which the Kalman filter is exactly designed for but this can also be done with simple ...

FXEZ's Quantitative Research In R

This paper may be of some interest. Note that it requires to know the expectancy of the strategy. This MM increases the size when the strategy is below its expected performance. DD are quickly recovered. But you have to be really sure of the edge ...

FXEZ's Quantitative Research In R

Don't take it personally, that's not my intend but this is a terrible way of performing a optimization. Actually you optimize nothing. Essentially your code searches the EMA period that will perform best next year knowing next year. From url ...

FXEZ's Quantitative Research In R