Market etiquette or good manners in a minefield - page 5
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Interesting. It appears that knowing the leverage, spread, and behavior behavior characteristics of TS at different parts of the chart, we can determine the range of stop and take that is the most suitable for the TS in question. And from that range we should distinguish the most satisfactory ones in terms of profit/risk ratio. Right?
If the leverage Lever is strictly set, then we can find the optimal level of the average payoff dS (TP and SL levels) in this particular case, based on the expression:
Remember, though, that profit rate in this case will not be the highest possible. It's connected with that Lever has been forcibly selected because of some other considerations (for example, limitation of a deposit size or exceeding of maximum level for a brokerage company) and most likely is not an optimal one. Nevertheless, it is the best possible set of combinations and certainly better than what intuition can advise.
Neutron, does p count without taking the spread into account?
Yes, of course. It is a characteristic of the TS (its predicative qualities) on a given instrument. Therefore, the spread should not distort this parameter. By the way, in the tester report, the value of "Profitable trades. Percentage of all" takes into account the brokerage companies' commission. It's a pity, we could take this important value without stress.
Yes, of course. It is a characteristic of the TS (its predicative qualities) on a given instrument. Therefore, the spread should not distort this parameter. By the way, in the tester report, the value of "Profitable trades. Percentage of all" takes into account the brokerage companies' commission. It's a pity, we could take this important value without stress.
Yes, I also thought to calculate it using results of the Statment, but I need to know number of losses within the spread or some other parameter.
Neutron, does p count without taking the spread into account?
Yes, of course. It is a characteristic of the TS (its predicative qualities) on a given instrument. Therefore, the spread should not distort this parameter. By the way, in the tester report, the value of "Profitable trades. Percentage of all" takes into account the brokerage companies' commission. It would be a pity, we could easily take this important value.
OK, stop. What do you mean excluding the spread?
Without spread, with spread there are some values, with double spread there are some others, for each case there is a certain percentage.
Neutron -- I propose to create a software. Purpose -- based on report with minimal lot without MM, the software will give optimal percentage. Is it realistic?
Why the software? The article is coming out soon, I've been working on it for a while. Input data - report's header with MM=0.1. Output data - estimate of chances that, say, the trade's R.O. will not exceed the limit on a certain number of trades. It is possible to apply the same procedure not only to the drawdown.
It is something like an expert estimation on the basis of minimal information. But I think the estimation is better than the expert one, because it is based on the bare statistics, not figures taken from the ceiling. And it's not just the spread that is a critical parameter for valuation, but some other parameters as well. Of course, the system has to be Bernoullian.
Why the software? I will soon publish an article, I've been working on it for a long time. Initial data - report header with MM=0.1. Output - estimate of chances that, say, the trade is not out of the limit on a certain amount of trades. It is possible to apply the same procedure to the drawdown and not only to the drawdown.
Well, it is a kind of expert assessment based on minimal information. But I think it's better than an expert's estimate, because the basis is pure statistics, not numbers taken from the ceiling. And it's not just the spread that is a critical parameter for valuation, but some other parameters as well. Of course the system has to be Bernoullian.
That's a bit off.
As far as I understand, your output is an estimate of stability, robustness of the TS.
I propose to write a software that calculates the optimal percentage for the proportional MM, assuming that the TS is robust.
I see. You'd have to ask Vince. Well, the assumption is nice and honeyed.
Well, the assumption is a nice, honeyed one.
Yes, but it makes sense. For fitting the optimum percentage of MM is an empty and useless shake of the air.
Why software? I will soon publish an article, I've been working on it for a long time. Input data - report header with MM=0.1. Output data - estimate of chances that, say, the m.o. of a deal will not exceed the limit on a certain number of deals. It is possible to apply the same procedure to the drawdown and not only to the drawdown.
Well, it is a kind of expert assessment based on minimal information. But I think it's better than an expert's estimate, because the basis is pure statistics, not numbers taken from the ceiling. And it's not just the spread that is a critical parameter for valuation, but some other parameters as well. Of course the system has to be Bernoullian.
Heh-heh! I've also started to investigate this question. Maybe I'll write an article, too. :) The result is unexpected, for me. The question in legitimacy of existence of "optimum F" arises in full growth.