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Is this strategy good enough?
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Is this strategy good enough?

  #111 (permalink)
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ThatManFromTexas View Post
You can make odds work in your favor. In Las Vegas, if you go to the "Craps" table and bet the "No Pass" line every time , assuming you have sufficient capital to cover you during the draw downs, you will make money over time.

The "house" is profitable because the odds are in their favor; players will lose eventually. The house has a large enough bank to ride out the streaks where players win more than they lose , a streak that historically is always short lived. By betting against the player throwing the dice, you are aligning yourself with the house position.

BTW... You won't make any friends doing this ... but you will make money.

The problem with that strategy is that 7 is the most likely result of each shooters come out roll. Unfortunately, 7 on a shooters initial roll will beat your don't pass bet. Bottom line, you will neither make friends nor make money over time with this casino strategy.

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  #112 (permalink)
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Don't be mad that you didn't get the answer you were looking for. If you were looking for people just to say yes (and that's what it sounds like you were doing) then what's the point? Fundamentally it just seems like you were looking for people to tell you "OH RLY - WHAT A STRAT - LOOKS LIKE WE GOT OURSELVES A DAVID TEPPER HERE" to give that little bit of validation for your strategy.

Past performance means nothing - I mean I was an awesome little league player, but doubt i'd succeed in the MLB. Maybe if i played for the Tigers.



baruchs View Post
First I want to say that on one hand I'm very disappointed from the answers I got on my questions, on the other hand I'm very glad. Now I know why 95% fail.
To the second question: max NP=100K and min NP=100K. I learned it in first grade.
Min DD=0 and max DD=36K.
So I will buy a beer (the typo correction was the greatest contribution to this thread) to myself.
Now for the estimate, its true that because it’s the same strategy run on 20 Forex pairs, which are some how correlated with almost same parameters on same time frame, the DD may be also correlated. In other words will happen at the same time.
On the other hand I know that the "Holy Grail" in trading is trading different strategies and/or on different instruments and/or or different time frames together. Actually I wrote about it on this forum more than a year ago. (It is called "The most important aspect.."). In that thread I even stated that it can more profitable to add a losing strategy into a basket. Instead of asking me to explain how I got to this conclusion I got same smart … answers as in this thread.
So my estimate would be that DD will be less that 10K.
I don't understand why some one needs sharp ratio to get to this conclusion (did someone look into the formula for a sharp ratio?), also why profit factor is needed (a clue: profit factor is not NP/DD).
Attached are the actual backtest results. I want to state again the flaw of this backtest is that it was not done on Bid/Ask. So please don't concentrate on the net profit per se, but on the relation between NP to DD.
I want to asure you that the DD was calculated correctly (better than by NT).
If you don't believe me I can post the 13K+ trades. (I will delete from the page the currency pair, the entry time and the entry/exit prices. They are not relevant for the DD calculation and I don't want to post them).
You can make same tests yourself with your strategies and believe me you will get the same results for the DD and NP. (NP = ∑NP and DD smaller then you expect).

If someone has a legitimate and honest question I'll gladly answer, but if you want to make some sarcastic remark pls keep it to yourself.



Last edited by inimical; February 11th, 2011 at 08:45 PM.
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  #113 (permalink)
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inimical View Post
Don't be mad that you didn't get the answer you were looking for. If you were looking for people just to say yes (and that's what it sounds like you were doing) then what's the poing? Fundamentally it just seems like you were looking for people to tell you "OH RLY - WHAT A STRAT - LOOKS LIKE WE GOT OURSELVES A DAVID TEPPER HERE" to give that little bit of validation for your strategy.

Past performance means nothing - I mean I was an awesome little league player, but doubt i'd succeed in the MLB. Maybe if i played for the Tigers.

Beware of strangers bearing NinjaTrader backtests. There are well know issues about the optimistic fill approach of the default NT backtest code. That's why many rosy NT backtested strategies end up crashing and burning live. There are various threads on this forum discussing the subject at length. In order to get around that, your backtest should be coded as a multi series strategy, with your trade management taking place in a secondary bar series of period 1 tick or 1 range.

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  #114 (permalink)
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Quoting 
Beware of strangers bearing NinjaTrader backtest. There are well know issues about the optimistic fill approach of the default NT backtest code. That's why many rosy NT backtested strategies end up crashing and burning live. There are various threads on this forum discussing the subject at length. In order to get around that, your backtest should be coded as a multi series strategy, with your trade management taking place in a secondary bar series of period 1 tick or 1 range.

Thank you for your concern about my coding. Pls look at this: Backtesting on tick data - NinjaTrader Support Forum

Again I'm very disappointed that no one even tried to answer my question.
There are so many brilliant brains on this forum, so many innovative thoughts.
Only in this thread I learn so much.
Before I didn't understand why people are so exited about "bear markets" I thought they were talking about "beer".
I also learn that you can not write a good strategy without good sharp ratio (c sharp in short) and without good profit factor (profits in short).
The knowledge that a coin toss is not 50/50 will transform me from a losing trader to very profitable one.
The question now is: Do you want to answer my question and me continue with the explanation or you want to continue throwing useless information and then it will be without me?

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  #115 (permalink)
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baruchs View Post
Thank you for your concern about my coding. Pls look at this: Backtesting on tick data - NinjaTrader Support Forum

Again I'm very disappointed that no one even tried to answer my question.
There are so many brilliant brains on this forum, so many innovative thoughts.
Only in this thread I learn so much.
Before I didn't understand why people are so exited about "bear markets" I thought they were talking about "beer".
I also learn that you can not write a good strategy without good sharp ratio (c sharp in short) and without good profit factor (profits in short).
The knowledge that a coin toss is not 50/50 will transform me from a losing trader to very profitable one.
The question now is: Do you want to answer my question and me continue with the explanation or you want to continue throwing useless information and then it will be without me?


I've found some of your posts in this thread very interesting and they get people thinking about important factors in trading, good job. But I think you need to lighten up just a bit, people are having difficulty conforming to what you are demanding or expecting of them because they feel you are being too rigid. Give them a bit of slack and don't demean them, just find a new way to relate to them -- they are engaging you, they are replying, they want to learn what you are willing to teach, why not help them instead of demean them?

I think it relates to the problems you are experiencing getting people to give you the answers you are expecting in this thread. You are disappointed people are answering the way they are, so try to open up a bit more, give them some of the information they are asking for, try to understand why they are asking for it --- even if you think they are wrong --- and then this entire discussion can continue to everyones benefit.

On a side note: You've been a member on futures.io (formerly BMT) since the very beginning - June 2009, yet you've only "Thanked" 1 post. Why is that? Only 1 post out of everything you've read on futures.io (formerly BMT) has been useful to you? I can't imagine this is true, if it was then why would you still be here. Try to respect the time and efforts of where other people are coming from and I think they will do the same for you.

Hope you have a good weekend!

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Mike

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  #116 (permalink)
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Quoting 
On a side note: You've been a member on futures.io (formerly BMT) since the very beginning - June 2009, yet you've only "Thanked" 1 post. Why is that? Only 1 post out of everything you've read on futures.io (formerly BMT) has been useful to you? I can't imagine this is true, if it was then why would you still be here. Try to respect the time and efforts of where other people are coming from and I think they will do the same for you.

First I want to thank you Mike that you didn't delete this post as you did before. I mean it. Not sarcasm.
Now for me getting anything from this forum, I'm hopeful that it will happen. I gave only 1 genuine thanks, because although I read most of the posts and follow this forum for a long time I didn't learn anything new yet.
Actually on my threads I tried to provoke people to think and I hoped to get some innovated responses, but it didn't happen.
If some one wants to take a shot on my threads 1.5 years ago, please do.
For the questions I ask, if I get clarification questions or a request for the solution I do it. Although what I wanted to achieve is for people to come to the conclusions them self. This way they will know its true. They said it!
But because there are destructive responses on this thread I respond like in the previos post.
I'm not selling that I'm a nicest person.

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  #117 (permalink)
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timefreedom View Post
The problem with that strategy is that 7 is the most likely result of each shooters come out roll. Unfortunately, 7 on a shooters initial roll will beat your don't pass bet. Bottom line, you will neither make friends nor make money over time with this casino strategy.

... did you back test it..

I'm just a simple man trading a simple plan.

My daddy always said, "Every day above ground is a good day!"
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  #118 (permalink)
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I tried to answer your question in post 106; didn't get a reply to that post. Or maybe I was answering the wrong question.

The question you posed was:

Lets look into another example:
you have two strategies:
1. NP=40K DD=6K
2. NP=10K DD=1k
Which is better? If you can prove it I'll be very impressed.

If this is the specific question you want answered -- which of 1 or 2 is better -- then I have some clarifying questions. How much capital is necessary to trade each? Is it the same amount of capital or does strat 2 tie up less capital? Also, is leverage an option -- i.e., could I lever up strategy 2 with 4 times as much trading power so that NP of that strat is 40K and equivalent to NP of strat 1?

If not, and if the same amount of capital is involved in both strats, then strat 1 is better, because it results in a larger percentage return. The assumption that the max DD will be 6K has already dictated that you won't bust your account with either strategy, assuming you start with more than 6K of capital, so the rational trader would obviously prefer to gain 40K trading strat 1 rather than gain only 10K trading strat 2.

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  #119 (permalink)
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@baruchs,

Come on man, relax! I actually think your question is very thought provoking. It's obvious you have ideas that may not be mainstream, because you may think at a different level or different plane then most people do. Some may think your views as radical and dismiss them because they may not understand them, or because they view them as going against convential wisdom. But it always takes one radical to change the views of conventional wisdom. Without radical thinkers like that, we would still be thinking if we walk long enough we would eventually fall off the edge of the earth

So please go on, and challenge conventional wisdom, you might just open up a whole new way for us to view things.

PS. I wrote the post about NT backtesting. My point was to educate people about how to properly get accurate results from NT backtesting. I admit that I often have a sarcastic undertone in my posts, sorry about that

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  #120 (permalink)
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Quoting 
If this is the specific question you want answered -- which of 1 or 2 is better -- then I have some clarifying questions. How much capital is necessary to trade each? Is it the same amount of capital or does strat 2 tie up less capital? Also, is leverage an option -- i.e., could I lever up strategy 2 with 4 times as much trading power so that NP of that strat is 40K and equivalent to NP of strat 1?

If not, and if the same amount of capital is involved in both strats, then strat 1 is better, because it results in a larger percentage return. The assumption that the max DD will be 6K has already dictated that you won't bust your account with either strategy, assuming you start with more than 6K of capital, so the rational trader would obviously prefer to gain 40K trading strat 1 rather than gain only 10K trading strat 2.

Well I didn't think I needed to add more inputs to my question. You see me, you and maybe 99% of traders on this forum are day traders. I'm not asking something and not telling the whole story just so the answers will be wrong.
Your answer has some seeds of correct thought process, but some conclusions are not correct.
I didn't say how many contracts were traded, because its irrelevant. Most of us have accounts to trade more then one contract, but we don't do it. But if I would estimate how much money needed to trade each strategy my answer would be: Start #1 at least 6500$ and strat #2 1500K. This is assuming that the daily margin for one contract is 500$.
So the answer to your question is of course you can trade more.
OK I'll accept your answer that strategy #2 is better. The proper explanation is:
if you trade the second strategy with 6 times more contracts the result will be : NP=60K DD=6K.
Fist I want to state that I'm glad that nobody said that both strategies are profitable and I wanted to prove that its better to add a losing strategy to the basket.
OK, now I need to confess, I made a "mistake". The Truth is the what I call strategy #2 is not really a strategy, but a basket of two strategies. The first strategy in that basket is strategy #1.
What are NP and DD of a second strategy in that basket?
Please don't think about capital, sharpe ratio or any thing else. You have all the data for an answer.

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