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What is the highest win% you have seen a trading system, automated or manual, have?
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What is the highest win% you have seen a trading system, automated or manual, have?

  #11 (permalink)
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Lampert View Post
@RJay - I am trying to understand your point . It seems that the disclaimer applies to all trading systems everywhere or are you making a specific point about the Collective2 systems?

Anyway, for others, I guess the question from ElectricWiz is still open. He is looking for % wins with trade durations of minutes or hours - like scalping systems.


Len

@Lampert

Noooooo .... they are saying the results on their website are simulated not actual.

From their disclaimer....

On this page, and others within this Web site, you are going to read about trading systems and their performance. These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading.


There was a site years ago that published actual trading results for systems. There would be systems that had great results for short periods of time before the results of optimization wore off and they dropped off the charts to be replaced by a new group of leaders or re-optimized versions of themselves.

I have had this conversation soooo many times over the last couple of decades ... I am not telling anyone how they should trade... I think every trader should follow their own volition ..... but by posting this info... my conscience is clear ..... and at stage of my life... trust me I keep score ...

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

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  #12 (permalink)
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I scalped bond futures in the past with 95% win rate for months. The system stopped working after decimalization took effect.

I am trading currently a trend following system with a win rate close to 75%. Portfolio of ETF products and stocks. R:R is close to 2.5. I stop trading a system if the win rate drops below 65%. Too risky regardless of R:R.

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  #13 (permalink)
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ElectricWiz View Post
What is the highest win% you have seen a DAY TRADING trading system, automated or manual, have?
I've seen claims of 70-80% profitable but Never seen this replicated during live market conditions.
I understand the difference between win% and overall profitability so please don't steer the conversation that way..

Win percentage is a worthless metric (by itself). You don't want to steer conversation this way, then why ask a question that focuses only on win % ?

It is like trying to buy a house without knowing the square footage, age, condition, location, etc. All you know is, it's a house. Now give me a dollar amount it's worth.

You are missing tons of information. Most new traders don't even realize this, they never think about it because they are just searching for the holy grail and jump from one vendor to the other trying to find it. These people are not traders, they are vendor groupies.

Win percentage is worthless. Anyone can make a system that wins 99% of the time real easily. Target: 1 tick, stop 100 ticks. OK, now you have a 99% win rate. What is the big deal? There isn't one. It's ignorance to only look at win percentage.

You need to consider expectancy, drawdowns, sample size, exit efficiency (MFE), entry efficiency (MAE), and so much more.

Using hindsight, you could create a system that buys the dips of the SP500 since January, and this system would look awesome. It should, because it's been an extremely bullish market. This is why historical analysis of systems is more or less completely worthless. You could print it out and wipe with it, that is about as much value as it is worth in most cases when looking at numbers posted by vendors trying to sell you something.

What matters is a forward test with an adequate sample size to compare to the historical test. Are the figures more or less in line (trade duration, win percentage, win/loss ratio, expectancy, mae, mfe, number of trades per day, % of longs, % of shorts, etc)? Do they match closely the historical numbers, in other words? Or are they (more likely) wildly different, because the strategy author has just curve fitted the hell out of the strategy to make it work real well in the past, which has little to no bearing on the future when you talk about the markets.

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Last edited by Big Mike; May 6th, 2012 at 02:57 PM.
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  #14 (permalink)
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Big Mike View Post
Win percentage is a worthless metric. You don't want to steer conversation this way, then why ask a question that focuses only on win % ?

It is like trying to buy a house without knowing the square footage, age, condition, location, etc. All you know is, it's a house. Now give me a dollar amount it's worth.

You are missing tons of information. Most new traders don't even realize this, they never think about it because they are just searching for the holy grail and jump from one vendor to the other trying to find it. These people are not traders, they are vendor groupies.

Win percentage is worthless. Anyone can make a system that wins 99% of the time real easily. Target: 1 tick, stop 100 ticks. OK, now you have a 99% win rate. What is the big deal? There isn't one. It's ignorance to only look at win percentage.

You need to consider expectancy, drawdowns, sample size, exit efficiency (MFE), entry efficiency (MAE), and so much more.

Using hindsight, you could create a system that buys the dips of the SP500 since January, and this system would look awesome. It should, because it's been an extremely bullish market. This is why historical analysis of systems is more or less completely worthless. You could print it out and wipe with it, that is about as much value as it is worth in most cases when looking at numbers posted by vendors trying to sell you something.

What matters is a forward test with an adequate sample size to compare to the historical test. Are the figures more or less in line (trade duration, win percentage, win/loss ratio, expectancy, mae, mfe, number of trades per day, % of longs, % of shorts, etc)? Do they match closely the historical numbers, in other words? Or are they (more likely) wildly different, because the strategy author has just curve fitted the hell out of the strategy to make it work real well in the past, which has little to no bearing on the future when you talk about the markets.

Mike

Mike, I just wanted to offer a little something, because I have a slightly different view.

A few times you say "win percentage is worthless". I would be careful with that, and what I think/hope you are meaning to say is that "looking at win percentage as a standalone metric is worthless".

Someone could ask a question about avg win:loss ratio, and we could say that it is worthless to look at... as a standalone metric, but the metric is not worthless. Neither is win%.

As you suggested in closing, it's necessary to take into consideration several different metrics for gauging performance. Well put.

Profitability, over any period measured, can be figured out by looking at win% and avg win:loss ratio TOGETHER. There is actually a direct relationship between the two and the formula is:

Required breakeven win:loss ratio =[(1 - win%) / win%]

I plot that breakeven line for various win%'s and then plot my average trading results. It shows my where my trading "style" is drifting as of late (I'm a completely discretionary trader, so this happens to me). Each point plotted is a rolling last 20 trade average for the win% and avg win:loss. So when I make a new trade, it adds that one to the average and drops off the oldest trade). You can see on this graph I came out from an unprofitable period from a string of losers.
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It's a natural question to want to know what our trading stats "should look like" or what we should be striving to achieve. My two cents is that the way someone trades always brings trade offs. Ex: You wait for more confirmation on a trade, so you have less bad signals and a higher win %, but in doing so, the trade off is that your stop loss is now farther away and your profit target is closer - so your avg win:loss is hurt. It's all a trade off. Keep up with multiple non-correlated stats on your performance, and you're on your way to understanding your areas for improvement, both in trading and yourself.

Hope this adds some value.

Best,

IT7

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  #15 (permalink)
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indextrader7 View Post
Mike, I just wanted to offer a little something, because I have a slightly different view.

A few times you say "win percentage is worthless". I would be careful with that, and what I think/hope you are meaning to say is that "looking at win percentage as a standalone metric is worthless".

Yes, I definitely mean win percentage by itself is worthless. I see posts all the time in the Vendors section, where people go from one system to another, spending all their time trying to find some holy grail solution they can buy -- and the posts are often the same "90% win percentage, I need to check this out". Just makes me want to cry.

Mike

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Need help?
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  #16 (permalink)
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ThatManFromTexas View Post
@Lampert

Noooooo .... they are saying the results on their website are simulated not actual.

Thanks, @ThatManFromTexas . Now I understand that you and @RJay are not familiar with the Collective2 site. Yes, from a legal perspective, the results can be viewed as simulated, not actual. However, from a practical perspective, the results are very close to actual.

For systems that do not have autotrading subscribers, there are no actual trades but the time and price of every trade are captured from real time market data.

For systems with autotrading subscribers, the actual trade times and prices are captured. Every trade made by each autotrader is viewable and can be verified.

As I stated earlier, I am suggesting the site only as a source for credible statistics associated with real trading systems. I am NOT suggesting that people actually subscribe to these systems.

Unless you have better information, there are no other sources of credible statistics on real trading systems that are available to us ordinary people.

As my daddy always said - you can't always judge a book by its cover. I do enjoy your posts ..... some of them are helpful .

Len

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Last edited by Lampert; May 6th, 2012 at 02:39 PM. Reason: Added jpg
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  #17 (permalink)
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ElectricWiz View Post
What is the highest win% you have seen a DAY TRADING trading system, automated or manual, have?
I've seen claims of 70-80% profitable but Never seen this replicated during live market conditions.
I understand the difference between win% and overall profitability so please don't steer the conversation that way..

Hello ElectricWiz
I recommend when looking at a system, that you not only check the win%, that of course can be flattering to read, but also and especially to check the overall expectancy of the system combined with its W/L ratio.

You can design a trading system that gives you 9 winners out of 10, and thus 90% success or a high W/L ratio of 9.
But what if the only trade that this system lost amounted to -100$ while the other 9 winning trades altogether sum up to a profit of +90$ only?
This happens very frequently with many traders out there, don't think it is an exaggeration.
The overall outcome of that system would still be a disappointing loss of -10$ despite the 9:1 ratio or 90% win.

Basically, I believe you shall focus on the average profit per trade, and the average loss per trade for the total of winning and loosing trades respectively - and then combine that with the win% or W/L ratio.

I have found that I can be financially independent as long as I maintain my avgWin$ per trade equal or higher to 80% of the avgLoss$ AND the system gives 60% or more winner.

Example I take on average 100 trades per month on my private account of $250,000
60 W and 40 L for a ratio of 1.5 or win% = 60%
avg. Profit per trade +$2,000
avg. Loss per trade -$2,500

Total P&L = 60 x $2,000 - 40 x $2,500 = $20,000 per month and that's +8% of my total account
Note that the average Loss per trade is 1% of total account, and average Profit per trade is 80% of average Loss.

Of course, this is not the only combination of figures that give you profit at the end of the month, but I have found that it is the most realistic and feasible on the long run.

In any case, I personally would be happy with a system that gives only 60% winners as long as my average loss per trade doesn't exceed 1% of my total account and I could win on average more than 67% of what I lose.

Sorry if I steered the discussion in a non-expected direction, but I just wanted to share my opinion and experience on the subject.
I wanna wish you happy trading, and lots of success in your quest.

Cheers
Fadi

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Last edited by Fadi; May 6th, 2012 at 02:58 PM.
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  #18 (permalink)
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Lampert View Post
Thanks, @ThatManFromTexas . Now I understand that you and @RJay are not familiar with the Collective2 site. Yes, from a legal perspective, the results can be viewed as simulated, not actual. However, from a practical perspective, the results are very close to actual.

For systems that do not have autotrading subscribers, there are no actual trades but the time and price of every trade are captured from real time market data.

For systems with autotrading subscribers, the actual trade times and prices are captured. Every trade made by each autotrader is viewable and can be verified.

As I stated earlier, I am suggesting the site only as a source for credible statistics associated with real trading systems. I am NOT suggesting that people actually subscribe to these systems.

Unless you have better information, there are no other sources of credible statistics on real trading systems that are available to us ordinary people.

As my daddy always said - you can't always judge a book by its cover. I do enjoy your posts ..... some of them are helpful .

Len

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@Lampert

Gawd ... I'm getting too old to have philosophical discussions (translation: internet arguments) about automated systems for sale/lease (Translation: The Goose that lays golden eggs for rent for $100 per month).

Ok... you convinced me .... Which system did you buy/rent?

I look forward to your thread with your automated system actual results.

https://futures.io/vendors-product-reviews/3459-experiences-collective2-5.html

http://www.attaincapital.com/signup_splash15?utm_campaign=Competitors&gclid=CNCss8m67K8CFQLktgodQgQwCg

http://www.forexpeacearmy.com/public/review/www.collective2.com

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

My daddy always said, "Every day above ground is a good day!"

Last edited by ThatManFromTexas; May 6th, 2012 at 05:14 PM.
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  #19 (permalink)
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Big Mike is right, win% by itself is worthless. I guess I was just interested to see what people's real systems look like. I'll just say it, it was a dumb question. SOme interesting posts thanks all who too the time to reply.

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  #20 (permalink)
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ThatManFromTexas View Post
@Lampert

Gawd ... I'm getting too old to have philosophical discussions (translation: internet arguments) about automated systems for sale/lease (Translation: The Goose that lays golden eggs for rent for $100 per month).

Ok... you convinced me .... Which system did you buy?

I look forward to your thread with your automated system actual results.

@ThatManFromTexas - I apologize for causing a hissy fit. I don't know what is hard to understand about a legitimate source of statistical data from real trading systems.

Ya, I get tired of people arguing with me too - why don't they just listen??

Or are you all knowing:
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