I don't really see a martingale here. Isn't this just an aggressive averaging down?

Playing Russian Roulette with Martingales

It looks like the idea of this thread is that martingale MM is a smart move when you have an edge because it is supposed to boost the strategy. The problem is that the assumption is wrong. Martingale is only "useful" to invoke Lady Luck when you ...

Playing Russian Roulette with Martingales

Sorry. I meant that if the trend is X at this bar, the trend at the next bar will be 0.99X plus noise. The reversion is weak. I didn't know about this distribution. What make you think about it?

The unknown

Yes as far as I could test it FX is not following a Ornstein–Uhlenbeck process even during a ranging period. Of course it oscillates around some level but nothing "pushes" it back to the mean. It seems to follow an integrated Ornstein–Uhlenbeck ...

The unknown

You might also be interested in these two posts of mine: url url TL;DR data says when price is very overbought... buy!

The unknown

[Sorry long post ahead] I once made an experiment with an oscillator to find a way to buy the dips (spoiler: I failed!). I'll try to reproduce the thinking process. For this post I'll use the RSI because it is a well known standard indicator. The ...

The unknown

If the price is the output of a possibly deterministic yet unknown generating process then, per definition, it is a random variable. I can show you that it is wrong if you like. (but I don't want to spend 2 hours to do it if you're not interested)

The unknown

Subscribed. What is your SL? How long do you trade it live? Can someone make an EA for it pleazzzzzz?

S

Of course it is all about commission. A edgeless system is drained by commissions. Do you at least realize that, if you had no commission, at the last of your 8 attempts you will be leveraged 339:1 ? (You'll be risking 33.9% of what remains in your ...

Making your own bank!

If you're long 0.1 on one account and short 0.3 on the other account you're net short 0.2 globally. What's the point wasting spread and commission to open 0.4? After adjusting for this your size progression is 1, 2, 6, 14, 30, 62, 126, 254. This ...

Making your own bank!

Come on this has been explained to the death. 1 long + 1 short = twice the fees to not trade. What is the difference with simply opening a position at the time you'd close the "winning" trade? Nothing except you may have paid swaps for nothing. This ...

[challenge] Show me a way to make profit with 50-53% WR!

sophism = an argument using fallacious logic If TP = 20 before spread and SL = 20 before spread then your R:R is not 1 as stated in the first post. It is R = 18/22 ~ 0.8182 The expectance of the system is then, at most, E = 0.53 x (1 + 18/22) - 1 ~ ...

[challenge] Show me a way to make profit with 50-53% WR!

Perhaps you found empirically the Kelly's bet size for your strategy. url

Backtesting phenomenon

This bar chart shows the opposite of your conclusion. If you were right that only the fees makes you lose then the average gain and loss should be approximately equal up to the trading fees. The bar chart shows that the average gain is much smaller ...

forex why traders lose

Volume is a poor analog to the mass because the mass of a system is constant while volume keeps changing very quickly.

Kinetic Energy trading

ex nihilo nihil fit

can we calculate a Lottery in which all wins

If everybody gets more than he gives where is the money coming from? You give me $1 45% chance I keep your bet. 10% chance I give you $2 1% chance I give you $5 0.1% chance I give you $50 0.01% chance I give you $500 0.001% chance I give you $5000 ...

can we calculate a Lottery in which all wins

Time series can have more than two kinds of trends: image See how the random walk looks really like a down trend despite it is fluke. Even after the fact can you tell it was NOT a down trend? The worse is the last picture. The random walk with ...

Trend Trading

I've learnt that people prefer believing nonsense rather than facing reality up to the point they can't spell the verb to lose correctly. people prefer asking someone else to write a useless EA instead of thinking 2 min by themsevles to realize ...

(binned per thread starter’s request) What have you learnt since

To make things clearer let's drop the "hedging" view of the set of trades and let's think in term of net exposure. Let's use the notation of a negative lot size to mean a short position. The net exposure is the sum of the (signed) position sizes. At ...

Moving Average Cross Over, Position Sizing