Knowing that 1+1=3, denying any proof it isn't true is called Faith. There are no arguments against that.

Does the martingale system really work?

Yes, I know. I was only teasing too

Quantitative and Algorithmic Trading

“Make everything as simple as possible, but not simpler” (A. Einstein) Sometimes the simplest possible is already quite complex. We have to do with it.

Quantitative and Algorithmic Trading

Demonstration that a martingale is a RR=0 game: url Demonstration that a martingale is fallacy: url Demonstration that NO MM may be an edge: url Probability on N losers given your winrate: url When increasing the bet makes sense while a ...

Does the martingale system really work?

It may... depending on the level of the martingale, your starting bet size and your allowed leverage. It can happen you won't be able to open the next doubling trade, short on margin. You'd have to start from x1 again and everything collapses. In ...

Does the martingale system really work?

Add the margin requirment.

Does the martingale system really work?

What are you talking about? You say it works and that it blows the account at the same time. You say you don't use it despite it works. You say here are the parameters to make it work where all of examples show wrecking accounts. I keep repeating ...

Does the martingale system really work?

Oh sorry we don't share exactly the same plan...

Does the martingale system really work?

I nice graphical version by Proximus: url image And there are still people to say it works!

Martingale Simulator (you go bankrupt every time)

A martingale level of 1 isn't really a martingale... The 5 sets of parameters destroy the account, as expected. I don't see the long term profitability. It's like betting the house and getting a lucky 4:1 winner trade followed by a loser that wipes ...

Does the martingale system really work?

Six ridiculous months of research are not at all a LOT of time (with capitalization). Learning is never a waste of time. The only waste of time is to try explaining something to someone who wants to keep believing the opposite despite any of proof.

Does the martingale system really work?

- Reversing the signals of a loser EA makes a pips pumping machine. - SL are killing your account - Do use a hedge instead and you get the Holy Grail. - By using a martingale, one never loses. I got the definitive idea! Let's take a loser EA and ...

Need a reverse option on this EA

I knew I should have added a picture. This is an idealized Kelly curve. image Important note: the top of the curve for a real life system is much closer to zero. Often it is even smaller than the 1% rule of thumb MM! The Kelly bet size is at the ...

Does the martingale system really work?

The problem doesn't come from the rate of growth of the increase nor with the capped vs unlimited martingale. It comes down to the reason behind the increase of the wager. It makes sense that if your probability of winning is bigger the bet size ...

Does the martingale system really work?

The increase of probability is a required yet not sufficient condition. The optimal bet size of a system can be calculated from a choosen utility function, based on personal risk aversion. The most known example is the log return which leads to the ...

Does the martingale system really work?

Hmm except I'm part of the skepticals. If you plug numbers in the formula you'll see that the probability of not losing is vanishingly small when the number of trades increases even with a very high win rate... Not correct. Your probability of ...

Does the martingale system really work?

If p is your winrate, NOT getting a single string of k losers (you say k=4) out of n trades (say n=200, approx one trade per session in a year) is given by image Certainly not the most sexy formula I agree...

Does the martingale system really work?

At first I thought this post would better fit in the thread "I will code your EAs and Indicators for no charge" as it looks like that's what you want. But you did already code an EA so... Usually, in any industry a project driven by constraints is ...

Project C (Collective System)

Where do you find 100.000 independent samples? as soon as your training windows overlap their are no more independent.

Walk Forward Analysis - the only logical successor to backtest

Thank you very much. I'm a software engineer for a living. Darwin do you know the genetic alogorithms? I think that's the way you're taking GAlib: Matthew's Genetic Algorithms Library - MIT Evolving Objects (EO): Evolutionary Computation Framework

Walk Forward Analysis - the only logical successor to backtest