R is the TP when SL is normalized. p is the probability of winning. Pb is NOT the probability of losing but the probability of hitting the stop after the partial profit. The proba of losing is Pa+Pb, the complement of p. So if p=0.1, Pb won't be 0.9 ...

Expectancy Management

Thanks for the pointer. I think you are refering to this: url url IHMO, and that's why I opened the thread, it's not only about MM or risk of ruin. Under-capitalization is part of the risk but the pair you trade as well. For instance I find E/U ...

Expectancy Management

Those are links to stats from 2010 for IB and FXCM. I saw more recent but didn't bookmarked. The figures don't change too much. FXCM is doing this kind of stats quite often. I think Jason Rogers was involved in the stats but not sure. You might PM ...

Expectancy Management

OANDA and FXCM have released stats about their retail traders. 70-75% of them are losing money. That's better than the 95% urban legend but still... FXCM made stats on the positions taken by their losing traders. Surprisingly it appeared that more ...

Expectancy Management

Gumrai is right there is no difference at all. When you short against your long with same lot size, you only freeze the PnL of the position. Your net position is 0 lots. You virtually close the long. The profit you believe banking with the short is ...

Hedging: I don't get it

Kalman requires a good model of the underlaying process. What model do you have in mind? I searched if it is was possible to estimate the model itself at the same time as the filter does its job. I found you can, that's called Dual Extended Kalman ...

Kalman Scalping

Hi! It depends on the systems. More precisely on their correlation (the correlation of their results). If two systems are highly correlated they double the risk (you more or less double the leverage). So you give them half the money. If they are ...

Trading Game System Discussion

Too far off topic but I think it's not true for a strategy like "Buy & Hold". But I admit it's vicious. It's because B&H has... no average!! Hmm yep... But I keep things separated. A magnifying glass doesn't change the written text you read. You can ...

Trading Game System Discussion

That's the very simplified version.... The expectancy is, per definition, the sum of all the possible independent outcomes mulitplied by their respective probability. (I wish I could write math formula in the posts) No confusion here. We perfectly ...

Trading Game System Discussion

But just in case you find it... they added a green zero!

Trading Game System Discussion

What do you mean by this? Do you mean that whatever the MM, if the expectancy of a system is 0, it cannot be made positive? If that's what you mean, the proof is rather easy. Or do you mean that if the trades are independent you can never win? Here ...

Trading Game System Discussion

Hi! If I understand correctly, you increase the lot size after a winner and decrease it after a loser. If I'm correct, this is only good if you can prove that the trading system is highly autocorrelated with a persistent behaviour. I mean that ...

Trading Game System Discussion

Whaaoo great idea! I suppose you close when back at break even? So risking QUADRATICALLY (N²) to hope for... ZERO! Very good R:R. Do you realize at 4th level you're already down 1000pips (100+200+300+400)? Do you know the BE ...

How to rescue a losing position?

If the markets aren't Gaussian their distribution is quite symetrical, esp. FX. So at a low scale (a few pips move) you're still flipping a coin. Average Joe trades the M5. True men trade the TICK you know. He targets 20 pips no more. He isn't ...

Probability depending on distance

I'm quite bad at explaining things... First you are right on all the points. The idea is not to bet the next step is going to be up or down nor red because of a long sequence of black. That's is 50/50 per definition. Because of this 50/50 I know you ...

Probability depending on distance

Say you're in the middle of a (very big) stair. You flip a coin to know where to go. head=UP, tail=DOWN, one step at a time. After a big enough coin flipping you will have got as many heads than tails. It means you went up as much as you went down. ...

Probability depending on distance

Not exactly. Wikipedia explains it much better than I could url section One-dimensional random walk. If you read French, their explanation is clearer. It is true that markets aren't random walk but for example 7bit tried to build such a market ...

Probability depending on distance

I didn't mean to be rude against Indrek or anybody else. --Perhaps the language is for something-- if it is perceived so, apologies. They were just facts. So far any rescuing attempt only increases the risk without significantly increasing the ...

How to rescue a losing position?

If the OP asked for methods of rescuing a losing position that was certainly to use the best one, no? If rescuing has no sense therefore the best method of rescuing is to not rescue at all. Which is an answer to his/her question. None of the methods ...

How to rescue a losing position?

Let's put apart that the month is not a unit of time (not the same number of days), here you define a velocity. The velocity of the price is independent of the timeframe since at any point of time the price is obviously the same on any TF. A speed ...

-45 Degree Trendline Angle In Bear Trends?