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No more BS- what works and what doesnt.
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No more BS- what works and what doesnt.

  #31 (permalink)
Elite Member
sweden
 
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WoodyFox View Post
@Mabi I'm starting to realize this approach myself... I have found edges in all three categories you mention. I am currently trying to piece some together.
I have found the low win % edges are more comfortable for me though. Mostly because when hitting a series of loses, my drawdown is easier to deal with mentally.

I discovered that the low% winners performance can be great long time ago but I completely ignored it and deleted them because it goes against everything You ever learnt or read.Today it is my best performers and drawdown as You wrote is nothing because You always have Open trades EQ that cover the long streaks of small losses.But it is good to mix exit on Fridays with No Exit so You bring home some money but still leave some to grow.

A portfolio with an average Win of 26% can still be profitable down to 15% but have weeks were it is at 60% .

Last week performance average was about 31 % WIN with payout about 5. Very good week.

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Last edited by Mabi; January 5th, 2019 at 11:12 PM.
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  #32 (permalink)
Trading for Fun
Brisbane Queensland Australia
 
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Favorite Futures: No i dont trade for fun i trade for profit
 
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WoodyFox View Post
@Mabi I'm starting to realize this approach myself... I have found edges in all three categories you mention. I am currently trying to piece some together.
I have found the low win % edges are more comfortable for me though. Mostly because when hitting a series of loses, my drawdown is easier to deal with mentally.


Given same expectancy a higher win rate is more desirable in my world . The tails are what kills you , Risk of Ruin is a " thing " , worst case scenario . Probability curves/matrix back this up . Consecutive losses are account killers and a 50% DD requires 100% to get back to scratch . Each to their own but knowing the maths helps a lot .

As long as you are aware of probability matrix you can make any positive expectancy system work but without knowing the 'matrix ' optimal position sizing to give best chance of avoiding risk of ruin is not possible . Drawdown is a traders poison and optimal position sizing is the antidote . Beware the fat tail especially if you trade overnight/weekend ... GAPS



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  #33 (permalink)
Trading for Fun
London
 
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futrstrdr View Post
I completely agree with thw333333's comments. They mirror my experiences pretty closely. I have been trading futures for over 21 years and things are finally coming together. I have gone from using multiple indicators and multiple markets to using nothing but an EMA, and ADX. And I am only following one market (CL). I have simplified my entries to if A occurs then I do B. Then repeat. Yes, boring, but much less stressful. Its actually enjoyable now. I only wish it hadn't taken so long but better late than never.

Thanks, what EMA do you use if you don't mind sharing? Do you use more than one on your chart?

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  #34 (permalink)
Trading Apprentice
Batavia NY
 
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The biggest problem with trading is most people are just doing bad data science.

I don't see how you can even talk about what works without understanding dataset shift/covariate shift
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Many trading strategies did work but the dataset shifted so that now the model is fitted wrong.

What works and what doesn't work is just too simplistic of a question.

Everyone knows at this point returns are not normally distributed but we still talk as if trades are independent and identically distributed. Like that matrix above is useful if this quote by Laplace applies:

"Probability ... is thus simply a fraction whose numerator is the number of favorable cases and whose denominator is the number of all the cases possible ... when nothing leads us to expect that any one of these cases should occur more than any other."
--Pierre-Simon Laplace

Clearly, that last part is highly problematic when it comes to trading.

IMO at some point you have to try to learn about other types of data science outside finance to become a better all around data scientist. Like if you learn a little bit about weather forecasting from weather data you of course would never take the last 10 years of weather data from a single weather sensor and try to make a model to predict the weather at that sensor tomorrow. That is obviously not going to work very well and why would you ignore the data from all the other weather sensors.


Last edited by centaurer; January 12th, 2019 at 12:22 PM.
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  #35 (permalink)
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Cape Coral FL USA
 
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kazz,

I use a 9 bar EMA of the median price of the bar. Seems to work very well with tick charts and Renko bars. I also use only one EMA

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  #36 (permalink)
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Murrays Bay
 
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Hi Centaurer
I have to say this is one of the most important posts that any site(s) have had posted on it.
Well said and displayed too.
thank you for that

best
John




centaurer View Post
The biggest problem with trading is most people are just doing bad data science.

I don't see how you can even talk about what works without understanding dataset shift/covariate shift
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Many trading strategies did work but the dataset shifted so that now the model is fitted wrong.

What works and what doesn't work is just too simplistic of a question.

Everyone knows at this point returns are not normally distributed but we still talk as if trades are independent and identically distributed. Like that matrix above is useful if this quote by Laplace applies:

"Probability ... is thus simply a fraction whose numerator is the number of favorable cases and whose denominator is the number of all the cases possible ... when nothing leads us to expect that any one of these cases should occur more than any other."
--Pierre-Simon Laplace

Clearly, that last part is highly problematic when it comes to trading.

IMO at some point you have to try to learn about other types of data science outside finance to become a better all around data scientist. Like if you learn a little bit about weather forecasting from weather data you of course would never take the last 10 years of weather data from a single weather sensor and try to make a model to predict the weather at that sensor tomorrow. That is obviously not going to work very well and why would you ignore the data from all the other weather sensors.


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  #37 (permalink)
Trading Apprentice
Den Haag, The Netherlands
 
Trading Experience: Intermediate
Platform: NT7
Broker/Data: IB
Favorite Futures: ES, NQ, DAX
 
Posts: 4 since Jul 2018
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In searching info online always look at WHO is talking or writing. People who are trying to sell their stuff are obviously biased and their promo talk is often too good to be true (duh).

Not that their stuff is bad or worthless but there is NO holy grail, no “secrets”, nothing new that the pros dont want you to know, that kinda BS marketing talk.

For futures, I believe orderflow is the way to go. Why? Just think of this, what do you think algo’s are based on, chart patterns? Ofcourse not, I wish it would be that easy. Institutional algo programs are written on order flow and thats where we want to be.

Yeah it requires time and effort to understand it and trade on it but in the end it pays off.

Futures is order flow
Options is volatility
Stocks are an investment tool, for daytrading mostly a gamble, hardly an edge.

But thats my humble opinion

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  #38 (permalink)
SpeculatorSeth
Salt Lake City, Utah
 
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Everything works

given the right context.

Every trader I've met has had a winning streak of some kind at some point. There's always that short time period where everything clicked, and their strategy seemed to work every time. Then all the sudden it stops. That's why the question people ask is not about profitability, but consistent profitability.

The problem is the switches. The context created by the unique factors affecting trade that day will flip around your signals. What worked 80% of the time will now only work 20% of the time because its not the right context anymore. If you understand the context correctly then you can adjust your strategies and setups accordingly. That means you need to understand your market, and not just blindly follow a signal. Which also means it takes a lot of time and experience to develop consistency.

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  #39 (permalink)
Market Wizard
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Platform: NT8,NT7,TWS,FOREX.COM app
Broker/Data: InteractiveBrokers, NinjaTrader Brokerage FOREX.COM, IQFeed
Favorite Futures: The one I'm creating in the present....ES, ZF, ZN, ZB, FX pairs
 
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Work on developing a probabilistic mindset....it’s the key to this business. Everyone is all worried about finding the greatest entry. Thread after thread here, in one form or another, talk about this or that entry system.

Very few make it in this business. Those same few think in the way the market exists .... probabilistically. The vast remaining can’t break from thinking in terms of right and wrong. They say things like, “I didn’t see things clearly today”, “my analysis was off”.

Any trading system will produce both trades that work and ones that don’t. It has nothing to do with analysis.

Inevitably those lacking a fully developed probabilistic mindset will think after 5 (insert some number) losers in a row it is their fault, their erroneous analysis.

Ron


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It is an axiomatic fact that while you meditate you are speaking with your own spirit. In that state of mind you put certain questions to your spirit and the spirit answers: the light breaks forth and the reality is revealed.
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  #40 (permalink)
Market Wizard
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medj View Post
I’d like to ask the pros/ trading vets to share what they think is BS and what they think actually works in the market ie/ pure tech analysis (s/r, trend lines, PA patterns etc), fundamentals, order flow (tape reading, delta, vol profile, footprints etc), spreads, options (vol trading, hedging etc).

GL in 2019 all

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Nothing works all the time.


Trend following works with a trend following strategy that has an edge. So does any other strategy that has an edge you can exploit.

Mastering your emotions and having the discipline to follow your plan works.

I know it is cliché but keeping losses small and letting winners run works.

When you talk you are only repeating what you already know. When you listen you might learn something new
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