I do agree with this. But let's pretend I'm an aspiring trader who has the goal of being profitable instead of being famous. I have two choices: - Either I try to be the new Martin S. Schwartz. Unfortnately we are no longer in the 80's. I know it ...

High hit rate vs big R:R - Which one do you prefer and why?

Expectancy = WR.(RR+1) - 1 Simulation 1 - WR 65% , RR 1:1, risk per trade 1% => Expectancy = 0.65*(1+1)-1=0.3 Simulation 2 - WR 30%, RR 3:1 , risk per trade 1% => Expectancy = 0.30*(3+1)-1=0.2 You say that a strategy with an expectancy 50% greater ...

High hit rate vs big R:R - Which one do you prefer and why?

I like this sentence but it implies that the trend is the only edge. Is it true? I don't know. Yet so far I found nothing else. To be honest I'm not sure I'd like to be quoted as if I was the Truth . BTW I have been disproven a few times ...

High hit rate vs big R:R - Which one do you prefer and why?

First this is not an approach. Second it has nothing to do with setting a TP or not. Whatever method you use your profit/loss will always be some multiple of your risk. If you set no SL at all the risk is the loss you would get at MC. R:R is the ...

High hit rate vs big R:R - Which one do you prefer and why?

Hard to make people accept that their reward is a random variable. When a trader uses a fixed SL his risk is still a random variable because of slippage, gap, flash crash, low liquidity widening the spread... Try and convince a trader that his ...

High hit rate vs big R:R - Which one do you prefer and why?

Big RR: Lower win rate means a more volatile equity curve with deep drawdowns. It is easier to find a working method: follow the trend. This is statistically sound. It's not sexy in a forum. Big win rate: Higher compounding power and smooth equity ...

High hit rate vs big R:R - Which one do you prefer and why?

Technically speaking if you bootstrap the return of ticks you do get a RW. Not a drunkard (coin toss) or a Brownian (Gaussian) but a RW nonetheless. Any probability distribution can be used (Cauchy, Levy, skewed, multimodal, time variant...). With ...

Machine Learning with algoTraderJo

A huge problem we have as quants is that all the usual regression and machine learning methods or the statistical tests, like ACF, assume that the signal is corrupted by noise which is small w.r.t the signal (good SNR). In financial time series the ...

Breakout, Fakeout or a Reversal?

Through simulation in R image file

What's a good volatility contraction indicator?

Yes and no. I can easily spot a non-trending market like a MA with a slope of a magnitude smaller than some (adaptative) threshold. But the real definition of the range depends more on the process generating the range than in the lack of trend. Only ...

Quant basket trader? I need your help!

I always found the trend was statistically very strong. Whatever oscillator I could test/invent I always find that the signals are just always correlated to the trend (buy signals "win" when the trend is up). Even when the oscillator is detrended. ...

Quant basket trader? I need your help!

If I understand the rules correctly that's just the good ole reverse martingale limited to the 3rd level. If the system has no edge it will lose because it will randomly hit the bankruptcy level at some point (RW). If the system does have an edge 1% ...

Capital Weightlifting Championship

The result simply translates to "follow the trend fool!!". A result that makes sense since we labelled the candles to catch the swings that breaks the previous one. image EDIT: The zones on top and at the bottom come from a lack of samples in the ...

Quant basket trader? I need your help!

What do you mean by "period of movement"? When you say "max number" do you reference the Trend-spotting indicator? If I remember correctly the thread here is the example that makes it fail: image But this is only about the definition of trend or ...

Quant basket trader? I need your help!

If a down swing breaks the previous low the candles of this down swing are labelled -1 (red). If a up swing breaks the previous high the candles of this up swing are labelled +1 (green). Otherwise the candles of the swing are labelled 0 (grey). Do I ...

Quant basket trader? I need your help!

They more or less flip color at the same time. BTW a very valid point was made in the thread: when the counter saturates the indicator may stay wrong for 100 bars. An example is easy to build. Yet I still don't understand how to label the bars based ...

Quant basket trader? I need your help!

That's what I thought. Implicitly when you label a turning point as bullish you also label the next candles forming the swing as bullish. But when doing this the learning algorithm matches every sequences like red-red-green as a potential reversal ...

Quant basket trader? I need your help!

Thanks for the suggestion. Yes I've already read this thread a while back. I coded the indicator. It compares more or less than the parabolic SAR or heikin ashi color change. How would you label the bars with it?

Quant basket trader? I need your help!

I don't mind at all: url For now I label the turning points only. But I'd like to label all the bars.

Quant basket trader? I need your help!

One question about the formula. The two bars below will be given the same ratio -1/6. Is it wanted? image

Better ADL