I just stumble on this thread yesterday. If you dig deep enough you find gems in FF. I'd like first to quickly clarify something about the term randomness with an example. Say you see a car in the street. It stops at the road crossing. Is it going ...

What Is a Trend?

It seems that I'm not really good at explaining what I try to achieve... Here is an excel sheet of a backtest over the last few months of how the watch list evolves. The currencies strength estimator suggests selling the Yen since the 17th but the ...

Pairs correlation and Money Management

Didn't you just swap alpha and beta? They are just literals you can call them teddyBear and fooBar that would be the same to me you know. computer scientist = mathematician - rigor I'm not trying to build a basket where you simulateously open a ...

Pairs correlation and Money Management

When you trade XXX/ZZZ. The price is in ZZZ. So here CHF/JPY is in JPY. Your risk is 0.245 JPY. 1- You take the last quote for CAD/JPY to convert your risk in JPY. Now CAD/JPY=96.88. 2- You multiply by the CAD risk you want 100 CAD = 9688 JPY 3- You ...

How to calculate lots for a given risk

url The first comment is exactly what I proposed with the Fi(t) functions At least this covers the case where the two systems have very different trading frequencies. The money allocation might be modulated the same way as I propose for the ...

Expectancy Management

- Will you be trading both systems with equal sizing? Good question. They shall use their own sizing depending of their own stats. Say we use 1/3 of Kelly, each system will have a different bet size. The corrolary question is X% of what money? ...

Expectancy Management

His MM isn't %X per trade but %X of the starting capital per trade. He is increasing the risk after a loser trade (in % of the account).

Expectancy Management

I completely agree with your conclusion about the risk of ruin. Do you know the formula used to generate these tables? It would be interresting to compute the value of each cell according to its corresponding Kelly bet size. Perhaps this validates ...

Expectancy Management

Either you can't trade and rely on luck or you can and you should perform much better. In both cases, not interesting.

3060EA and back test help wanted

You can also start with a lot size of 0 and keep doubling Yes but a martingale requires infinite money so withdrawing only throws gas onto the fire. When the risk free capital is gone the net balance is the starting capital. Sound like the ...

3060EA and back test help wanted

You are more than welcome Patrick to bring this very interesting contribution

Expectancy Management

Because I do my homework even, and especially, when I'm told it is useless... I ran two Monte-Carlo simulations of two Bernoulli trials. In these two games either you lose 1 or you win R. Probability of winning is P. The first one simulates a system ...

Expectancy Management

I'm also interested in this kind of indicator (estimator). More precisely in the algorithm used as I'm not using MT4. I don't care the lag, the lesser the better of course, but even a dozen of bars are OK. BTW can you tell me how your naked eyes can ...

Good Chop Indicator

Why a system with 40% winrate and RR=2 can't work?

Rags to Riches in 10 or 20 Trades - Simplicity at its finest

With R=2, 67% win rate is the minimum to bet 50% of your money. 50% winrate and RR=2, that's 25% no more.

Rags to Riches in 10 or 20 Trades - Simplicity at its finest

Kelly is about Money Management. With the high risk of repeating myself this is OFF-TOPIC. In pseudo-maths, "1+4%" is not a correct notation. If you want to educate people give the full kelly equation, not the simplified version for binary outcome ...

Expectancy Management

OK. I understand you know nothing to maths therefore you reject them.... What is your definition of an edge? To predict the market? I understand why you consider all the methods don't work then... It is fortunately wrong. No. You are wrong. This ...

Expectancy Management

(thinking out loud) If someone filters his setups why the filters aren't already part of the system's rules?

Expectancy Management

All of this is about money management: off-topic. variable position sizes suggests that you know in advance that one trade has better probability than another Correct, except you estimate that one trade has better probability than another. You can ...

Expectancy Management

Ltc.Data made me think.... It was half past eleven yesterday night. Tired... I said "it is preferable to aim at a big R:R rather than a big win rate" and he opposed that "Providing that the edge remains constant, the opposite is true." Of course he ...

Expectancy Management