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Win Rate %?


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Win Rate %?

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  #11 (permalink)
 kevinkdog   is a Vendor
 
 
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rocketstock View Post
Yes thanks. Once I get this running with entry and exit accuracy. I'll run it over 1 year.

So far I eventually plan to trail stop the startegy script (and some other scripts) to avoid that massive loss even if it's one or two trades. At this stage I'm just trying to see how accurately folks have developed scripts. 19/20 accurate entries and exits is great scripting. I'm nowhere close. Plus I'm also learning to code in NinjaTrader and translate my visual trading into scripts. So far more like 12/20 trades over a month or backtest. I can manage the loss trades. It's the indicators and levels scripts I am working on for 3 min ES mini. Increasing accuracy of bottom and tops. Many more steps ahead :-) Good idea on webinar.

Not to belabor the point, but you say again 19/20 is "great scripting," and actually that is not necessarily true.

A random entry and exit strategy, with 1 point target and a 19 point stop loss, should theoretically give you a 95% win rate. But when you factor in commissions, slippage and limit order fills, a random strategy like that - even with 95% wins - is actually a big net loser.

Focus on expectancy, not accuracy.

And 1 year backtest is not nearly long enough, IMHO.

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  #12 (permalink)
rocketstock
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Symple View Post
@rocketstock

As I do not and never have done automated script trading, as it did not fit my way of trading in very active times, I not can provide you any answer to your question. But I am sure some folks here in the forum are able to do so and are able to answer your question.

Wish you further all the best and good success in your way of making good money with it.

Symple

Thank you!

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  #13 (permalink)
rocketstock
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kevinkdog View Post
Not to belabor the point, but you say again 19/20 is "great scripting," and actually that is not necessarily true.

A random entry and exit strategy, with 1 point target and a 19 point stop loss, should theoretically give you a 95% win rate. But when you factor in commissions, slippage and limit order fills, a random strategy like that - even with 95% wins - is actually a big net loser.

Focus on expectancy, not accuracy.

And 1 year backtest is not nearly long enough, IMHO.

We are thinking of playing the sport differently I think and obviously your strategy is working. I am working on indicators for now. With no profit target. Levels scripting come next. I think my subject line is not perfect. It should have been percentage of accurate entry and exit levels of a trade instead of win rate. I will script so that 1 massive trade loss doesn't happen. On a 3 min trade I won't keep 19-point loss on trail stop for example. It will be 3-4 points. So, if I have let's 50 successful trades on 3 min chart in a 24 hour period for 3 average points profit and 10 loss trades with 3 trail stop/script exit....that's ok. I appreciate your perspectives so thank you very much. Would appreciate further critique too. :-)

that's ES in 24 hr:

150 points with entry exit correct - 50 trades
30 points loss. - 10 trades.

Nnot asking anyone for their automated indicators and strategies code. I just want to see how accurate can people get with their entry exit coding using automated indicators and levels. Just starting off here with automated trading.

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  #14 (permalink)
 kevinkdog   is a Vendor
 
 
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rocketstock View Post
We are thinking of playing the sport differently I think and obviously your strategy is working. I am working on indicators for now. With no profit target. Levels scripting come next. I think my subject line is not perfect. It should have been percentage of accurate entry and exit levels of a trade instead of win rate. I will script so that 1 massive trade loss doesn't happen. On a 3 min trade I won't keep 19-point loss on trail stop for example. It will be 3-4 points. So, if I have let's 50 successful trades on 3 min chart in a 24 hour period for 3 average points profit and 10 loss trades with 3 trail stop/script exit....that's ok. I appreciate your perspectives so thank you very much. Would appreciate further critique too. :-)

that's ES in 24 hr:

150 points with entry exit correct - 50 trades
30 points loss. - 10 trades.

Nnot asking anyone for their automated indicators and strategies code. I just want to see how accurate can people get with their entry exit coding using automated indicators and levels. Just starting off here with automated trading.

My critique: I hate to be a downer, but I don't think your goals are anywhere close to being realistic, to be honest. 60 trades netting 120 points a day is $6000 per day per contract. I've never heard of anyone coming close to that. But I hope you succeed!

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  #15 (permalink)
rocketstock
Denver CO
 
 
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kevinkdog View Post
My critique: I hate to be a downer, but I don't think your goals are anywhere close to being realistic, to be honest. 60 trades netting 120 points a day is $6000 per day per contract. I've never heard of anyone coming close to that. But I hope you succeed!

Thats fair. That's the feedback I am looking for. My calculation was just an example. I just wanted to get feel of reality that experts have accomplished so far with rapid entries and exits. I would however like to understand your startegy too. Not details you dont want to share.

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  #16 (permalink)
 kevinkdog   is a Vendor
 
 
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rocketstock View Post
Thats fair. That's the feedback I am looking for. My calculation was just an example. I just wanted to get feel of reality that experts have accomplished so far with rapid entries and exits. I would however like to understand your startegy too. Not details you dont want to share.

I have quite a few strategies for ES and NQ, but only one is an intraday strategy. Those are VERY hard to find.

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  #17 (permalink)
rocketstock
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kevinkdog View Post
I have quite a few strategies for ES and NQ, but only one is an intraday strategy. Those are VERY hard to find.

Well if you come across intraday techniques that are not a secret. drop me a note. It's been a pleasure. Kind of you to share your thoughts

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  #18 (permalink)
 SMCJB 
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If your returns are normally (or even evenly) distributed then win percentage is important, BUT they rarely are. As @kevinkdog explained the distribution of your returns dictates your success. The example he gave is heavily negatively skewed. Other examples of negatively skewed strategies are mean reversion and option selling strategies. The obvious example of a positively skewed strategy is trend following.

If you have two strategies with the same mean and standard deviation return, but one is negatively skewed and the other is positively skewed you normally want to trade the positively skewed strategy as it has the better long term compounded growth. (If you want to think this through, imagine two distributions, one has a 1% chance of a 100% loss and one has a 1% chance of a 100% gain!)

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  #19 (permalink)
rocketstock
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SMCJB View Post
If your returns are normally (or even evenly) distributed then win percentage is important, BUT they rarely are. As @kevindog explained the distribution of your returns dictates your success. The example he gave is heavily negatively skewed. Other examples of negatively skewed strategies are mean reversion and option selling strategies. The obvious example of a positively skewed strategy is trend following.

If you have two strategies with the same mean and standard deviation return, but one is negatively skewed and the other is positively skewed you normally want to trade the positively skewed strategy as it has the better long term compounded growth. (If you want to think this through, imagine two distributions, one has a 1% chance of a 100% loss and one has a 1% chance of a 100% gain!)

That makes perfect sense. Thanks for sharing your thoughts.

I am developing just one 3 minute chart trading strategy. Buy low near bottom sell near top on 3 min chart. Just bullish so far. Just getting my basic logic in so far. Programming is another problem. haha See attached report. This is backtest on real data. I need to get the gross loss down. I ran this one with one contract for 3 weeks. My trades are so far on an average hitting successfully over 60 percent accurate entry and exit. I'm wondering if anyone does this kind of trade and if they are over 90% accurate. Working on it indicators and next is levels.


3min

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  #20 (permalink)
 SomePsychoDude 
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kevinkdog View Post
I have some strategies that win 20% of the time.

This one is interesting. Do You explain the strategies here on forum? Or only sell via courses?
P.S. For me it's just the purpose of interest to see what kinda setup/setups is picking 20% winrate strategy.

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