mathematician/trader sought - Hire a Consultant or Programmer | futures trading

Go Back

> Futures Trading, News, Charts and Platforms > Hire a Consultant or Programmer

mathematician/trader sought
Started:March 27th, 2014 (09:24 AM) by bob314159 Views / Replies:90 / 0
Last Reply:March 27th, 2014 (09:24 AM) Attachments:0

Welcome to

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike

Thread Tools Search this Thread

mathematician/trader sought

Old March 27th, 2014, 09:24 AM   #1 (permalink)
Elite Member
boulder, colorado
Futures Experience: Advanced
Platform: TradeStation
Favorite Futures: emini's
Posts: 19 since Jun 2010
Thanks: 2 given, 7 received

mathematician/trader sought

A trade with a target of k ticks and a stop loss of s ticks, with probability p of gaining k ticks before losing s ticks and a strategy of entering the trade and exiting only by stopping out or hitting the target, gives
- E{profit} = p*k (1-p)*s = p*(k+s) s, and
- sd{profit} = (k+s) √ (p*(1-p))
E{profit} is positive iff p>s/(k+s). This is trivial probability theory but it has interesting consequences.
Trading n contracts, each such trade has E{profit} = n*( p*(k+s) s). Suppose you make this bet a number of times, starting with fortune F0 (F measured as a number of ticks) and achieving fortunes F1, F2, . . . by betting the fraction α of your fortune at each trade; that is, ni*si <= α*Fi for the ith bet, with n0 <= α*F0/s0.
The trade is equivalent to a coin toss, betting $1 on heads where P{H} = p: letting w = k/s, if H comes up you win $w and if T comes up you lose $1. After one toss your fortune is F0 + w with probability p and F0 1 with probability 1-p. To maximize the growth rate of your fortune, the optimal strategy is to bet α = p (1-p)/(1+w) of your fortune on each play.
Translating back to trading, the best ni would clearly vary with Fi and also depend upon many other factors, like time of day, etc. some of which may be difficult to estimate without order data that only larger brokerages possess, but in any case the supply of opposing contracts or shares with the initial conditions (p,k,s) will be exhausted by the taking of large enough positions, typically much smaller than αi*Fi, so the limit is determined not by the Kelly Criterion but by the market itself, and the optimal strategy would be to choose ni so that the market can absorb the ni volume without altering the (p,k,s) relationship.
As an example, for a gamble with k=5, s=2 and p =.8, you would bet .8-.2/3.5 = .743, or about 75% of your fortune, and with k=2, s=2, p=.8, the maximal growth rate is achieved by betting .8 - .2/2 = 70% of your fortune, and for k=1, s=4, p=.8, you bet .8 - .2/(5/4) = .64. For p = .8, whatever are k and s, you would always bet at least 60% of your fortune to maximize its growth rate, assuming the initial conditions, and thus, for such trades, the limit is determined by the order flow.
However, some markets, in particular the ES, can absorb a lot of volume without being moved, as you can see by looking at a 10k chart. They thus can handle considerable size, not unlimited but certainly ni large enough for most needs and interests.
Consider a trade with p=1- ε, with k = 8 and s = 1:
- E{profit}=8-9*ε
- sd{profit} = 9 √(ε*(1- ε))
For n trades a day:
E{profit}=(8-9*ε)*n, and
sd{profit} = 9 √(n*ε*(1- ε)).
p = .8 is where it starts to get interesting, as that is when E{profit} > 2*sd{profit} begins to be possible, and even n=1 is quite useful. Zero-ε trades dont exist, of course, as anything can happen at any time, but micro-ε trades exist.
We are a private hedge fund and would be interested in a partner.

Paid Services Forum: Hire a Consultant or Programmer

In this subforum only the thread starter may post replies to this thread. To contact or reply to user "bob314159", please send a Private Message.

Important threads to read regarding this Paid Services subforum:

- Do you really need to pay for it?
- Protect yourself
- Do research before hiring
- How to pay for services
- Rating a transaction after it is completed
- Disclaimer: Services here are not endorsed by

Reply With Quote

Reply > Futures Trading, News, Charts and Platforms > Hire a Consultant or Programmer > mathematician/trader sought

Thread Tools Search this Thread
Search this Thread:

Advanced Search

Upcoming Webinars and Events (4:30PM ET unless noted)

An Afternoon with FIO trader bobwest

Elite only

NinjaTrader 8: Programming Profitable Trading Edges w/Scott Hodson

Elite only

Anthony Drager: Executing on Intermarket Correlations & Order Flow, Part 2

Elite only

Adam Grimes: Five critically important keys to professional trading

Elite only

Machine Learning Concepts w/FIO member NJAMC

Elite only

MarketDelta Cloud Platform: Announcing new mobile features

Dec 1

NinjaTrader 8: Features and Enhancements

Dec 6

Similar Threads
Thread Thread Starter Forum Replies Last Post
A Mathematician/Hacker on Wall St. baxline Traders Hideout 13 January 19th, 2014 06:27 PM
Mathematician who changed the history. HedgeFundAleksan News and Current Events 1 October 12th, 2013 11:01 AM
JPMorgan Sought Loophole on Risky Trading Quick Summary News and Current Events 0 May 12th, 2012 07:50 AM
U.S. ban sought on cell phone use while driving kbit News and Current Events 1 April 27th, 2012 06:58 PM
Arrest in Yemen in Bomb Plot; More Suspects Sought Quick Summary News and Current Events 0 October 30th, 2010 06:00 PM

All times are GMT -4. The time now is 08:19 AM.

Copyright © 2016 by All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts

Page generated 2016-10-25 in 0.06 seconds with 19 queries on phoenix via your IP