Profitability Sample Size Units - Psychology and Money Management | futures io social day trading
futures io futures trading


Profitability Sample Size Units
Updated: Views / Replies:1,811 / 5
Created: by westgawolf Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • 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.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Profitability Sample Size Units

  #1 (permalink)
Elite Member
Atlanta, Georgia
 
Futures Experience: Beginner
Platform: MBT Nav Pro/TOS
Broker/Data: MB Trading
Favorite Futures: TF
 
westgawolf's Avatar
 
Posts: 18 since May 2011
Thanks: 13 given, 12 received

Profitability Sample Size Units

I remember from my statistics class that 30 data points is the minimum sample size needed to properly test the significance of a set of data. What I'm wondering is what units to use to see if my strategy can be profitable long-term. The choices would be trades, days, weeks, or months. Any ideas from the veterans?

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,602 received
Forum Reputation: Legendary



westgawolf View Post
I remember from my statistics class that 30 data points is the minimum sample size needed to properly test the significance of a set of data. What I'm wondering is what units to use to see if my strategy can be profitable long-term. The choices would be trades, days, weeks, or months. Any ideas from the veterans?

The sample size depends on market conditions and/or degress of freedom. A minimum of 100 trades is a good sample size to start with.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
  #4 (permalink)
Elite Member
Atlanta, Georgia
 
Futures Experience: Beginner
Platform: MBT Nav Pro/TOS
Broker/Data: MB Trading
Favorite Futures: TF
 
westgawolf's Avatar
 
Posts: 18 since May 2011
Thanks: 13 given, 12 received

One more question if anyone cares to answer. Is using Market Replay on NT a reliable way to backtest where the results would correspond very closely to live trading? Would 100 MR trades provide enough evidence to attempt going live if the trades were taken the same way as you'd take them live?

Reply With Quote
 
  #5 (permalink)
Elite Member
Canton, OH
 
Futures Experience: Advanced
Platform: ThinkOrSwim
Favorite Futures: Index Options Credit Spreads
 
HowardCohodas's Avatar
 
Posts: 100 since Mar 2011
Thanks: 40 given, 107 received


westgawolf View Post
One more question if anyone cares to answer. Is using Market Replay on NT a reliable way to backtest where the results would correspond very closely to live trading? Would 100 MR trades provide enough evidence to attempt going live if the trades were taken the same way as you'd take them live?

I am a self described back testing evangelist.

Back testing is fraught with danger if you do not take proper precautions to prevent what is known as "curve cutting." That is, tweaking with the parameters to get the best results from your data set. Your first line of defense is to have two data sets. Train on one and then pass your algorithm over the out of sample set. Only if the results are similar can you have confidence in SIM trading it. If SIM trading shows promise, then on to small money trading.

Curve fitting is only the largest rock in the stream when it comes to back testing. Other considerations include how close you get to tick data and the kind of slippage your analysis incorporates. I could go on, but ...

____________________________________________________
If it is to be, it is up to me.
All I Know About Trading Options I Learned in Flight School
Reply With Quote
The following user says Thank You to HowardCohodas for this post:
 
  #6 (permalink)
Elite Member
arizona
 
Futures Experience: Intermediate
Platform: rolling my own
Favorite Futures: ES,CL,GC,6E
 
GoldStandard's Avatar
 
Posts: 211 since Oct 2009
Thanks: 326 given, 188 received


westgawolf View Post
One more question if anyone cares to answer. Is using Market Replay on NT a reliable way to backtest where the results would correspond very closely to live trading? Would 100 MR trades provide enough evidence to attempt going live if the trades were taken the same way as you'd take them live?

On Ninja, Market Replay is a lot more reliable than their backtesting function. I'm not sure it's equivalent to live trading, but it is closer to it than Ninja's backtesting is. As for going live based on this... thats a different question and there are many different books, threads, and opinions on what kind of testing is needed before going live. Also depends on your time frame and your strategy. The market is changing all the time so it's not for sure that it will still behave similarly to how it did when you tested the 100 trades. It's very common for people to create systems that perform well for a while, but eventually crash and burn. Generally you can expect a system to perform worse live than it does in testing, so you want it to perform very well in testing before you think about going live. Good luck!

Reply With Quote
The following user says Thank You to GoldStandard for this post:

Reply



futures io > > > Profitability Sample Size Units

Thread Tools Search this Thread
Search this Thread:

Advanced Search



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

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Trapped traders - a source of consistent profitability? Tradetronics Traders Hideout 51 December 11th, 2017 05:12 PM
Ask Size, Bid Size, Delta zury Investor/RT 2 May 9th, 2011 09:09 AM
1/2/3 units fer trade, whats best gracepips Psychology and Money Management 6 April 3rd, 2011 01:49 PM
Fisher Transform - a sample size problem? drolles NinjaTrader Programming 16 March 15th, 2011 08:06 AM
putting bid size and ask size on the Market Analyzer trivto57 NinjaTrader Programming 4 June 4th, 2010 08:00 AM


All times are GMT -4. The time now is 09:02 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
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 2017-12-18 in 0.10 seconds with 19 queries on phoenix via your IP 107.20.115.174