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Coin Toss Experiment (Strategy)
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Coin Toss Experiment (Strategy)

  #61 (permalink)
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deaddog View Post
Iím a stock trader and not familiar with 6E. What amount equals a 15 tick stop?

It seems strange that you would have such a wide discrepancy.

Iím assuming that numbers are dollar amounts.

1 tick in 6E is 12.50. the numbers i highlighted are in ticks not dollars. i chose 15 ticks because that is a 5 minute harmonic rotation on average and what I usually use for my own trading.

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  #62 (permalink)
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treydog999 View Post
1 tick in 6E is 12.50. the numbers i highlighted are in ticks not dollars. i chose 15 ticks because that is a 5 minute harmonic rotation on average and what I usually use for my own trading.

Iím having trouble understanding the spreadsheet.
In column B (1 to 1)
The average winning trade is 377.2377.72
The average losing trade is Ė377.1953

The largest win is 4175
The largest loss is -3750

How does this relate to a 15 tick unit?

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  #63 (permalink)
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treydog999 View Post
Alright so I ran the random entry system on 6E with 5 minute bars like i had last time. 1-1-2003 to present day. I used the same 15-15 hard stop and target as before to keep consistency. No commissions/slippage.

Break even after 8 ticks of profit (15-15 stop target)

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trailing 15 ticks (15-15 stop target)
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These strategies in general affect winrate, Reward Risk Ratios, and holding time in trades. But in general still again, trade management converges to 0.

Looking at the Break Even strategy. Break evens here I believe are not counted as winners no losers. So in the end you get a 1:1 Reward Risk ratio. But your winrate is in the toilet compared to a 1:1 strategy.

The trailing stop strategy does something interesting that may be beneficial though not net profitable in any way. is the increase in the ratio of winners to losers. So if your in the combine for example, trailing your stop is a guaranteed way to nail at least 1 of the stats. This trailing stop was 15 ticks on a 15 tick stop, so it never actually started to lock in profits.


But I think conceptually these exercises continue to show us that at the end of the day, trade management doesn't mean jack, outside of psychology and preference.

Larry Connors studied over 200,000 trades from a winning system and compared the results with and without stops. He found the use of stops increased the probability of loss and reduced the expected gain. Of course there are no guarantees that his strategy, or any unbounded trading strategy, will perpetually avoid massive drawdowns. In terms of living the life of a trader, it’s one thing to have a system with “good numbers” it is quite another thing to be a trader and have to deal with reality.


trade management, if done properly....means everything


Last edited by tigertrader; June 2nd, 2013 at 03:41 PM.
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  #64 (permalink)
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deaddog View Post
Iím having trouble understanding the spreadsheet.
In column B (1 to 1)
The average winning trade is 377.2377.72
The average losing trade is Ė377.1953

The largest win is 4175
The largest loss is -3750

How does this relate to a 15 tick unit?

Oh yes those are dollar amounts, i meant the highlighted portion when i converted back to ticks. also its trading to 2 lots so divide by 12.50*2=25.

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  #65 (permalink)
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tigertrader View Post
Larry Connors studied over 200,000 trades from a winning system and compared the results with and without stops. He found the use of stops increased the probability of loss and reduced the expected gain. Of course there are no guarantees that his strategy, or any unbounded trading strategy, will perpetually avoid massive drawdowns. In terms of living the life of a trader, itís one thing to have a system with ďgood numbersĒ it is quite another thing to be a trader and have to deal with reality.


trade management, if done properly....means everything

Yes I am familiar with his work. This is more the case with mean reversion systems and algorithmic trading which is what he talks about most frequently. i have actually found that out myself through my own systematic development. But the drawdowns can be insane and you're RR is horrible, they just have high win rates because you basically hold until you're a winner or have a margin call. Which is basically expressing the same idea above, you get one but pay for it with the other.

In terms of "being a trader" sure you have to live with the stats of your system. But the numbers are the benchmark as to what could possibly happen in the future. Obviously the trader has to live with the actualized performance. I just don't see how that implies that

Quoting 
trade management, if done properly....means everything

He still abides by the relationship between win rate and average winner/loser(R:R). He has just taken it to an extreme. Or I guess you could say, selected the % winners to R:R that is most beneficial to him. Although the net result of isolating the specific trade management is net 0. This applies the same way to trend traders, they select high R:R ratios and low win rates. But again isolating the specific trade management is net 0. Its a choice, but not inherently an advantage.

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  #66 (permalink)
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treydog999 View Post
Oh yes those are dollar amounts, i meant the highlighted portion when i converted back to ticks. also its trading to 2 lots so divide by 12.50*2=25.

OK so the largest loss then would be 3750 / 25 or 150 ticks?

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  #67 (permalink)
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deaddog View Post
OK so the largest loss then would be 3750 / 25 or 150 ticks?

yes

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  #68 (permalink)
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treydog999 View Post
yes

WOW: That is one volatile instrument to trade; You put in a 15 tick stop and get filled at 150 ticks.

Even worse would be some of the other scenarios. In the one you ran for me the largest loss was 11475 or 459 ticks. No wonder I don't trade 6E.

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  #69 (permalink)
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deaddog View Post
WOW: That is one volatile instrument to trade; You put in a 15 tick stop and get filled at 150 ticks.

Even worse would be some of the other scenarios. In the one you ran for me the largest loss was 11475 or 459 ticks. No wonder I don't trade 6E.

Yes, there is 1 inherent thing i should mention. its in the market >97% (there are bars where its not but it gets in the next minute), so news, holding over night, weekend gaps, etc. It could be caused by 1 of those phenomenon, it only has to occur once to get recorded. Thats why i was just focusing on the expectancy. The random volatility over a large # of trades should become neutralized.

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  #70 (permalink)
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treydog999 View Post
Yes, there is 1 inherent thing i should mention. its in the market >97% (there are bars where its not but it gets in the next minute), so news, holding over night, weekend gaps, etc. It could be caused by 1 of those phenomenon, it only has to occur once to get recorded. Thats why i was just focusing on the expectancy. The random volatility over a large # of trades should become neutralized.

That explains it. Thanks for disproving my theory.

It would be interesting to see how it worked if you strictly day traded. Go flat each night and enter at the open each day.

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