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Beth's Journey to Make Her Millions
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Beth's Journey to Make Her Millions

  #1551 (permalink)
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wgreenie View Post

Combined Stats for 6E (12-10) and 6E (03-11) Divergence Signals (without Ergodic filter)

Period: 11 Oct 2010 to 17 Feb 2011 (95 trading mornings incl 22 Nil signal mornings)
Time: 8:30 am to 11:30 am EST
PT/SL: 6/6 (no SL adjustment or trail)
No Counter-trend signals and not taking those between MAs or close to S/R
Oh, also ignored news and market open ..

No of Trades: 121
No of Winners: 102 x 6 = 612
No of Losers: 19 x -6 = -114
Nett Pips Before Commission: 498
Win%: 84.30%

Finally, I have the required stats info to soothe my head.

Beth


wgreenie,

the average profit/trade is ~ 4.1 pips before commissions and slippage. You really have to be a scalper at heart to trade this way, always at the edge, so to speak.

I've backtested strategies with very low average profit/trade and they quickly fell apart in live trading even though they had a high win rate.
The backtested almost 500 pips look nice but the 4 pips/trade worry me.

 
  #1552 (permalink)
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wgreenie View Post
Hi Tellytub

...
Based on my stats compilation, Ergodic has been aligning with most divergence signals. I'd say about 5 not aligned and might have saved some losing pips.

Beth

now, delete either panel 2 or 3, they are saying the same thing.

 
  #1553 (permalink)
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cory View Post
now, delete either panel 2 or 3, they are saying the same thing.

Yes Cory. I estimate that removal of the indicators on Panels 2 and 3 (keeping or not keeping the faster Ergodic overlay on Price) has minimal impact on the stats .. Smile ..

Oh, I have an osc indicator that must be at a predetermined favorite position before taking a trade. It's removed from the chart because it's part of the commercial set-up.

Beth

Good Trading is about Trading Right!
Want What the Market Wants!
Trade With the Trend!
 
  #1554 (permalink)
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TheSeeker View Post
wgreenie,

the average profit/trade is ~ 4.1 pips before commissions and slippage. You really have to be a scalper at heart to trade this way, always at the edge, so to speak.

I've backtested strategies with very low average profit/trade and they quickly fell apart in live trading even though they had a high win rate.
The backtested almost 500 pips look nice but the 4 pips/trade worry me.

This is a valid point. All stats, are theoretical, and you cannot expect to duplicate the numbers in the real world, because as humans, we cannot execute to theoretical accuracy. We are gonna screw up trades, enter late, miss trades because we were taking a bathroom break, etc.

I generally take a pessimistic stance on statistics and backtesting. That is the major problem with Ninjatrader backtesting, they have an optimistic heuristic coding, so their backkests generally look better then reality especially when it comes to trades with stops/targets hit on the entry bar. I follow this rule I heard from a seasoned trader regarding stats, and backtesting: Take your number of losers, multiply it by 2, then take your number of winners, divide by 2, this is to take into account all the bonehead ways we can screw things up in real life. If the resulting numbers still look good, then you have yourself a pretty good system.

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  #1555 (permalink)
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monpere View Post
This is a valid point. All stats, are theoretical, and you cannot expect to duplicate the numbers in the real world, because as humans, we cannot execute to theoretical accuracy. We are gonna screw up trades, enter late, miss trades because we were taking a bathroom break, etc.

I generally take a pessimistic stance on statistics and backtesting. That is the major problem with Ninjatrader backtesting, they have an optimistic heuristic coding, so their backkests generally look better then reality especially when it comes to trades with stops/targets hit on the entry bar. I follow this rule I heard from a seasoned trader regarding stats, and backtesting: Take your number of losers, multiply it by 2, then take your number of winners, divide by 2, this is to take into account all the bonehead ways we can screw things up in real life. If the resulting numbers still look good, then you have yourself a pretty good system.

I am not sure I understand exactly what you mean. If your system has 80% win rate with r:r = 1:1, say in 100 trades there are 80 winners, 20 losers. After x2 and /2, you got 40 winners and 40 losers. So you should only consider your system as 50% win rate?

 
  #1556 (permalink)
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omaha786 View Post
I am not sure I understand exactly what you mean. If your system has 80% win rate with r:r = 1:1, say in 100 trades there are 80 winners, 20 losers. After x2 and /2, you got 40 winners and 40 losers. So you should only consider your system as 50% win rate?

I think monpere has enlarged reality to convey his point as if we take his numbers (he wrote that his score hovers around 65% with a 3 ticks SL and 6 ticks TP) if we use his own rules then his system delivers +195 winning ticks versus -210 losing ticks by chunk of 100 trades placed. Nothing to get excited.

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  #1557 (permalink)
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omaha786 View Post
I am not sure I understand exactly what you mean. If your system has 80% win rate with r:r = 1:1, say in 100 trades there are 80 winners, 20 losers. After x2 and /2, you got 40 winners and 40 losers. So you should only consider your system as 50% win rate?

With a 1:1 reward/risk, I guess that would be the case. But I would still consider it very viable if that system can support 2:1 reward/risk. I personally will not trade any system with less then close to 2:1 reward/risk. That is just the way he evaluates his systems. I think he considers that to be the worst case pessimistic test. I don't think it is generally that bad in real life, but I am certain that you will seldom be close to the hypothetical numbers, unless you are autotrading.

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  #1558 (permalink)
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trendisyourfriend View Post
I think monpere has enlarged reality to convey his point as if we take his numbers (he wrote that his score hovers around 65% with a 3 ticks SL and 6 ticks TP) if we use his own rules then his system delivers +195 winning ticks versus -210 losing ticks by chunk of 100 trades placed. Nothing to get excited.

We are considering the issues around the statistical numbers generated by the initial analysis of a system, versus the actual numbers you will probably get when you start trading that system live. When I was first developing my system, the hypothetical numbers where around 85% win rate, but in live trading I've never been able to get that high consistently. Currently I average around 60%-70% win ratio on a daily basis, but I trade with a strict 2:1 reward/risk, so that win percentage keeps me consistently profitable even on occasional days where I loose half my trades. I don't have to try very hard to get trades right, so my trading is pretty stress free. If you are the type who likes to be right, or trade with <= 1:1, or only wants to take 3 trades a day, I think you need a higher real life win ratio.

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  #1559 (permalink)
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monpere View Post
With a 1:1 reward/risk, I guess that would be the case. But I would still consider it very viable if that system can support 2:1 reward/risk. I personally will not trade any system with less then close to 2:1 reward/risk. That is just the way he evaluates his systems. I think he considers that to be the worst case pessimistic test. I don't think it is generally that bad in real life, but I am certain that you will seldom be close to the hypothetical numbers, unless you are autotrading.

Monpere,

You post all over everyone else's journal and also on so many other threads, and there is substantial interest in what you are doing. However, you post what you are doing on all these threads.

Wouldn't it be easier just to journal your trading? I still don't understand why you do that and it really is none of my business, but seems a bit odd to me that you tell everyone what you are doing, but do not actually share what you are doing in a consistent and easy to understand way.

You are a posting bandit, which is great and we need more people like that, but please journal your trading as I think a lot of people would enjoy it.

Myself included.

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  #1560 (permalink)
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bluemele View Post
Monpere,

You post all over everyone else's journal and also on so many other threads, and there is substantial interest in what you are doing. However, you post what you are doing on all these threads.

Wouldn't it be easier just to journal your trading? I still don't understand why you do that and it really is none of my business, but seems a bit odd to me that you tell everyone what you are doing, but do not actually share what you are doing in a consistent and easy to understand way.

You are a posting bandit, which is great and we need more people like that, but please journal your trading as I think a lot of people would enjoy it.

Myself included.

I'm not much of a blogger, but like to offer input where I think I might provide some help. I hope my input here is helping Beth with her foray into the mechanical/statistical side of things. As most traders tend to be discretionary traders, I with my mechanical approach, am probably regarded more as a heretic then anything among most on the site

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