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

Can you develop a little bit more? Is a high correlation a good thing to you? Correlation can been seen as a hint of causality: one variable explains the other one. But the correlation can also be looked at as a convolution: how two curves have a ...

Walk Forward Analysis - the only logical successor to backtest

Correct but could you tell me the logic, mentality, and MM from the picture alone before reading the answers? The WFA is a tool to evaluate the idea behind the EA not to build the EA. Logic: Guts feeling entry in the market. Mentality: Refuse to ...

Walk Forward Analysis - the only logical successor to backtest

Questions for you Darwin: You say that the WFA aims at adapting the EA parameters to the evolution of the market. But you seem to assume, as a given, that the EA already has some edge. When you optimize an EA and you get a result such as the curve ...

Walk Forward Analysis - the only logical successor to backtest

I can only disagree with this statement. Look at the image below. This is a backtest (not a WFA). There are more than 500 trades. What is the logic behind? What is the "mentality" (if ever an EA has a mentality). What is the money management? Over ...

Walk Forward Analysis - the only logical successor to backtest

"One year of intense research". I just love it!

New Indestructible, Unbreakable, Unshakable Holy Grail System

The walk forward analysis is a... hmm... an ANALYSIS tool! It is not a EA factory. Please stop spoiling what could become a good very thread.

Why backtests are useless & EAs are flawed [discuss]

I store my candles in binary format, no compression. I store the O,H,L,C of course but also the open time, close time, time of the high, time of the low, the number of up and down ticks and the maximum spread that occurred during the candle. 48 ...

Any broker with API trading on small accounts?

There is no such thing as a *half true* mathematical proof. Either it is correct or there is a mistake in the demonstration. How do you know there won't be a 8th loser => I think it works What if you DO hit the 8th loser? => You take this big loss ...

Does the martingale system really work?

No Nobel for me. I'm afraid a lot of smarter people already thought about all of this. I just meant that Kelly is the optimal solution using U(x)=ln(x) as the utility function. You can optimize using other functions like U(x)=sqrt(x). None of them ...

One Way to Develop a Winning System

Very interresting (as usual). I personally thought about an EMA of the bet size for the same reasons. The constant of the EMA would define the rate of adaptation from the current bet size to the target, currently estimated Kelly, bet size. The EMA ...

One Way to Develop a Winning System

The martingale fallacy comes from the fact that the expectancy of the limit is not equal to the limit of the expectancy. What does this mean? Suppose you have a edge-less game like a fair coin flipping with the same reward as risk. win rate 50%, R:R ...

Does the martingale system really work?

Here is the result of what I meant image

Expectancy Management

Note there is a little danger with the WFA: 1- You write an EA 2- You WFA it over your E/U data 3- Results suck! 4- You change this and that in your code 5- You WFA it over your E/U data 6- Results are slighly better 7- You change this and that in ...

Why backtests are useless & EAs are flawed [discuss]

Do you remember that I'm a computer guy not a maths guy? I'm leaving in a discret world To me a convolution isn't an infinite integral, its a sigma sign Also I usually use a compact support: the kernel is zero outside a range [a, b]. So the ...

Expectancy Management