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Winning Trade % Confidence vs. Straight Losers Expectation
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Winning Trade % Confidence vs. Straight Losers Expectation

  #11 (permalink)
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Try it now...


"Faith is the substance of things hoped for, the evidence of things not seen." --- "Therefore, I Believe it and I will see it. And every day and in every way, I am healthier, wealthier, and wiser."
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  #12 (permalink)
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rtrade View Post
It's the SUPER FREAK ....Horst Blows it OFF The CHARTS

It's Friday and a beautiful day to start the weekend....let's have some fun.

Ok, I'm only presenting what is FACTUAL based on futures.io (formerly BMT)'s postings, NOT Opinion.

Please review and attachment and sing along with .... Rick James...Baby....

The fact is only Horst knows whether the results are real or fictional. I've had winning streaks that exceeded the 90% win ratio on the chart (just hold on to the losers baby) for several consecutive months - until I blew the account in one massive ugly fat tail. Am I a super freak?
Or as my statistics professor in college so aptly put it on the first day of class, "statistics are a LIE"

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  #13 (permalink)
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eudamonia View Post
The fact is only Horst knows whether the results are real or fictional. I've had winning streaks that exceeded the 90% win ratio on the chart....

Wow, that qualifies you as a SUPER FREAK.


eudamonia View Post
.... until I blew the account in one massive ugly fat tail.

I don't quite understand, are referring to our futures.io (formerly BMT) member Fat Tail as ugly?


eudamonia View Post
Am I a super freak?

Well, since you admitted you lost your account, that would make you a Super Loser...but you're showing some hope because you told aztrader that you made 65 pennies today.



eudamonia View Post
Or as my statistics professor in college so aptly put it on the first day of class, "statistics are a LIE"

Ah, so are you referring that aganami is a mendacious individual for posting the statistical chart?


"Faith is the substance of things hoped for, the evidence of things not seen." --- "Therefore, I Believe it and I will see it. And every day and in every way, I am healthier, wealthier, and wiser."
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  #14 (permalink)
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Anagami View Post
I won't lie, I slapped this together pretty fast, so please let me know if you find any errors.

I hope the attached image is self-explanatory. Find your trade confidence in the left column (60% to 90% success rate). Then look up %s of having 2 or more losers in a row with that confidence.

Example:
Your trades have a 78% confidence level.
You're likely to get:
3 losers in a row about 1% of the time.
4 losers in a row about 23 times out of 1000 times.
5 losers in a row about 5 times out of 10,000 times.
etc.
Depending on your trading frequency, you can (roughly!!) estimate how many losers in a row you can expect in a year, a decade, or a lifetime of trading (of course, your confidence interval changes with time!!).

For example, assume:

3 trades a day, 22 days a month, 12 month a year.
About 800 trades a year.
8000 trades in a decade.
Therefore, the green color represents a 'decade' threshold under these assumptions (since green outcome is at least 1 in 10,000).
In other words, with 3 trades a day frequency, you might see a green outcome in a decade of trading.
You are not very likely to see a blue one... assuming your trade confidence estimate is accurate.

Anyways, it's a bit simplistic, but gives you a ballpark idea. Enjoy.

Just to clarify how to interpret this table...

Using your same example is it correct to say that at 78% win percentage that if a trade is a loser that the probability of the next 3 also being losers is 0.23%?

thks

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  #15 (permalink)
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For those who havent seen it, this is also a useful tool to analyse your expected performance given
average win
average loss
win%

Random Equity Curve Simulator of a trading system. Learn it before you trade

It will plot any number of possible equity curves to give you an idea of your methods performance variability - of course it depends on your estimate of those variables.

It all helps in getting familiar with your method.

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Winning Trade % Confidence vs. Straight Losers Expectation-apr.-0203-13.54.gif  
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  #16 (permalink)
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Linds View Post
Just to clarify how to interpret this table...

Using your same example is it correct to say that at 78% win percentage that if a trade is a loser that the probability of the next 3 also being losers is 0.23%?

thks

You got it!

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  #17 (permalink)
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Linds View Post
For those who havent seen it, this is also a useful tool to analyse your expected performance given
average win
average loss
win%

Random Equity Curve Simulator of a trading system. Learn it before you trade

It will plot any number of possible equity curves to give you an idea of your methods performance variability - of course it depends on your estimate of those variables.

It all helps in getting familiar with your method.

These are always fun to mess with. Consider a method where the losses are twice as big as the wins, but wins happen 90%. Attached. I'd say that's a damn nice equity curve... not as nice as Horst's... but it would do.

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Winning Trade % Confidence vs. Straight Losers Expectation-lossestwicebigger.jpg  
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  #18 (permalink)
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Very interesting take on confidence.

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  #19 (permalink)
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Linds View Post
Just to clarify how to interpret this table...

Using your same example is it correct to say that at 78% win percentage that if a trade is a loser that the probability of the next 3 also being losers is 0.23%?

thks

At the risk of being anal, not exactly.

What the chart is showing is that over a sample set of n events, the likelihood of repetitive losses are as indicated.

I know that it seems like it's saying the same thing but it's not.

The expectation for the next trade is the same as it was for the last trade.......

So just to be technical, you shouldn't view it as saying "well, I've lost 3 in a row so the expectation of the next trade being a loser very small" that's dangerous. As pointed out in another thread, you CAN however approach the concept from a string standpoint and if you encorporate the same strategy over all events(trades) then it comes out in the wash.

Basically, in order for this to work for a money management strategy, you have to approach the concept consistently among all trades, you can't decide to just jump in and cherry pick a single event, because as I said, the expectation for any single trade is the same/similar.

I think he was using it more as a confidence bolster to stick to your guns and realize that just because you lose 2 trades in a row, don't be fearful/pensive and stick to the plan and be disciplined and when it comes out in the wash (100 trades or such) then it will be in your favor.

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  #20 (permalink)
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RM99 View Post
At the risk of being anal, not exactly.

What the chart is showing is that over a sample set of n events, the likelihood of repetitive losses are as indicated.

I know that it seems like it's saying the same thing but it's not.

The expectation for the next trade is the same as it was for the last trade.......

So just to be technical, you shouldn't view it as saying "well, I've lost 3 in a row so the expectation of the next trade being a loser very small" that's dangerous. As pointed out in another thread, you CAN however approach the concept from a string standpoint and if you encorporate the same strategy over all events(trades) then it comes out in the wash.

Basically, in order for this to work for a money management strategy, you have to approach the concept consistently among all trades, you can't decide to just jump in and cherry pick a single event, because as I said, the expectation for any single trade is the same/similar.

I think he was using it more as a confidence bolster to stick to your guns and realize that just because you lose 2 trades in a row, don't be fearful/pensive and stick to the plan and be disciplined and when it comes out in the wash (100 trades or such) then it will be in your favor.

Yes, those two are in fact two different things. The chart is about a likelihood of a string of losses given your expectation for each trade (which is assumed to be constant).... not about expectation for the next trade per se (which is the same as previous one).

That's it, it's a psychological tool to help you remain consistent during a string of losses... by having some idea about the # of losses given your batting average.

"...the degree to which you think you know, assume you know, or in any way need to know what is going to happen next, is equal to the degree to which you will fail as a trader." - Mark Douglas
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