Simbasystem-gbpusd - page 112

[Ammo]

Hello Simba,

I apologize for breaking this thread, but I'm a bit stuck.

This is in reference to a post much earlier in this thread regarding money management, the Kelly ratio, "right risk", etc..

I've calculated my Kelly ratio and my worst case drawdown.

I'm assuming an initial account of $1000.

I can't figure the correct "right risk"; your post uses a multiplier of 1000 and I don't know where that comes from.

I'm also not sure if the equation is:

K*(Equity/Worst DD)* multiplier

or

[(K*Equity)/Worst DD]*multiplier

Can you please indicate the correct multiplier and the proper equation to use?

Any help appreciated.

Thanks.

[SIMBA]

Ammo

Ammo:
Hello Simba,

I apologize for breaking this thread, but I'm a bit stuck.

This is in reference to a post much earlier in this thread regarding money management, the Kelly ratio, "right risk", etc..

I've calculated my Kelly ratio and my worst case drawdown.

I'm assuming an initial account of $1000.

I can't figure the correct "right risk"; your post uses a multiplier of 1000 and I don't know where that comes from.

I'm also not sure if the equation is:

K*(Equity/Worst DD)* multiplier

or

[(K*Equity)/Worst DD]*multiplier

Can you please indicate the correct multiplier and the proper equation to use?

Any help appreciated.

Thanks.

Ammo,

You don`t break the thread,you just add to it

I have posted several references to Kelly formula in this and other Forums,and ,so ,I am going to ask you 2 things:

1-Could you reference my post here ?I remember that I was arguing(more or less ) that the Kelly ratio is unfeasible in real trading,so there were several ways to tame it,one was to divide it by (worst loss/average loss)..and the second one to divide it by your (worst drawdown/average loss)..since it is always the worst drawdown from a consecutive series of losses that kills the account

2-What are the numbers you used to calculate your Kelly ratio?Please post them here and I will give you my opinion and,hopefully,help you

Regards

[Ammo]

[SIMBA]

Ammo

QUOTE "Numbers I used for calculations:

(from manual backtesting)

Total wins: 240

Total losses: 94

Average win: .0047

Average loss: .0024

Worst drawdown (from highest EQ point to lowest): .0137

$1000 account

My calculations:

Winning probability: 71%

W/L Ratio: 1.95

K ratio: .56

Thanks again for your help."

Hi Ammo,

1-Kelly ratio:Your "optimal" bet size..Kelly % = W – [(1 – W) / R]=0.71-(0.29/1.95)=0.56 as calculated by you is ok

2-worst drawdown/average loss=0.0137/0.0024=5.71

3-safekelly=0.56/5.71=0.098...so,you could risk a max of 98$ for the initial trade with an equity of 1k$..and,as long as you keep on the same track(9.8% max risk per trade,and,some kind of results)that`s ok.

4-MORE IMPORTANT:Your numbers are too good,and they are from manual testing,I am not disputing them,I just advice you to recheck them,manual testing is prone to many biases when estimating the results of a system..as they are ... the probability of having 5 consecutive losses is 0.29*0.29*0.29*0.29 *0.29=0.00205..so,you can expect,on average,to have 5 consecutive losses every 488 trades..and you can expect that this will set you back to 0.902*0.902*0.902 *0.902*0.902=0.597...59.7% of the equity before the streak...can you stand it,an expected 40% drawdown every 488 trades?Depends on your trading frequency and your tolerance of risk...ANYWAY..your numbers are too good...71%Winning trades and 1.95 average win/average loss is exceptional..please recheck them.

Regards..and hope this helped

[Ammo]

Thanks much for your help.

I agree, it looks awfully good, maybe too good.

It's an extremely simple system so I think results are a close approximation, I also verified them in Excel.

Forward testing will tell.

Your point #4 puts things into perspective.

Thanks again.

[jguellbo]

Hi Santiago,thanks for your help with the break-out strategies,They have ben unbelievably profitable..I would like to comment one sad issue I had with Saxobank,They issued a requote 8 hours after the fact,the trade was closed and confirmed 8 hours before their PHONE CALL asking me to accept the requote or else they will nullify the trade,since their requote(35 points in Spanish index Ibex) was only for 70 Euros,after haggling with them I accepted,but I feel scammed by them..what do you think?Should I pursue the issue legally?After their requote,instead of winning 415 Euros I won 345,but I feel like they took advantage of me

[SIMBA]

Faust:
Hi Santiago,thanks for your help with the break-out strategies,They have ben unbelievably profitable..I would like to comment one sad issue I had with Saxobank,They issued a requote 8 hours after the fact,the trade was closed and confirmed 8 hours before their PHONE CALL asking me to accept the requote or else they will nullify the trade,since their requote(35 points in Spanish index Ibex) was only for 70 Euros,after haggling with them I accepted,but I feel scammed by them..what do you think?Should I pursue the issue legally?After their requote,instead of winning 415 Euros I won 345,but I feel like they took advantage of me

Hi Faust,

Actually this is higly unusual,a requote a few seconds after the order is issued is "acceptable",as long as it is not the usual thing..a requote of a "8 hours ago closed trade" is unbelievable..can you post your "fill and time" records?35 points in Spanish IBEX is a LOT..like having a 30 pips requote on EURJPY..I will not accept them,or,if forced,I would change broker ASAP..In any case,since Saxobank is actually a regulated European bank,I would contact their customer service department and,if no solution was found,I will issue a complaint against them at the appropiate regulatory authority..

Additionally,feel free to comment on this issue here or by PM,I will do my best to help you...if I can

[jguellbo]

Thank you for your reply Santiago. This is what happened: At 09.03 spanish time(CET) I sold two CFD of Ibex index that I have bought yesterday. The sell was confirmed at 15937.5 .Then,after around 6 hours,+-to them 15:50 spanish time I receive Saxobank's call, saying that there has been a mistake in the information of the ibex, and that are going to change the sale from 15937.5 to 15902, and that or he(she) was accepting or they were cancelling the trade

[SIMBA]

Faust:
Thank you for your reply Santiago. This is what happened: At 09.03 spanish time(CET) I sold two CFD of Ibex index that I have bought yesterday. The sell was confirmed at 15937.5 .Then,after around 6 hours,+-to them 15:50 spanish time I receive Saxobank's call, saying that there has been a mistake in the information of the ibex, and that are going to change the sale from 15937.5 to 15902, and that or he(she) was accepting or they were cancelling the trade

Faust,

1-Congratulations for being able to exit your long at practically the high of the day..CET and GMT time differences confirm your assertion,they robbed you.

2-Probably ,this is what motivated Saxobank to scam you of your rightful wins..you are too good for them,and insteads of "not counterpartying" you trades ,they just kept their usual broker behaviour...until the MIERDA hit the fan ..

3-The unbelievable thing is that this issue money value is 70 bucks,so they phone you,international phone call from Denmark to Spain ,and menace you to accept their convolutions or else...for 70 $?And what about the counterparty..do you think they are going to allow him to recover their money ?Of course yes,because THEY ARE THE COUNTERPARTY to your trade,they lost more than expected,so,they change the rules of the game..unbelievable ,that a supposed European Bank can go to such extremes to steal 70 bucks..stay clear from them..I have seen similar issues arising,but NEVER AFTER 8 HOURS OF AS CONFIRMED TRADE..so,just change broker ...They still allowed you to keep some profit

stay away from this kind of robber-brokers..go to a normal one..

[jjk2]

wehre to get that move like the wind my friend indicator ?

no these brokers dont give a shit about small accounts. they dont sit around waiting for you to make your move so that they can steal your 70 bucks. your not that important.