Working on an intelligence lot size algorithm together...

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Murat Yazici
1528
Murat Yazici  

Hi all,

I hope you are well. I want to develop an intelligence lot size algorithm for a Reward/Risk= 1/6 ratio.
I use 5pips take profits and 30 pips initial stop loss points. I have developed an EA. It have completed its live test for 3 weeks.
It have obtained 81% success rate ( Total trades: 324, Profitable trades: 264). Because of 1/6 Reward/Risk ratio, the 81% success rate is not enough to be profitable  at the end of the month with " a stabil lot size".

If I can develop a intelligence lot size algorithm, I can be in a profit with 1/6 Reward/Risk ratio at the end of the month. I wonder if there are any person who want to work with me about creating an intelligence algorithm via forum. If we have a success, we can apply this intelligence algorithm on a lot of system to be in a profit.

What is your approach? I have create the system's mathematical optimization model as follows;

                       The Aim Function: max i lotsizei (35f(i)-30)

                                 Constraints: lotsizei >=0.01,

The aim function aims to obtain max. profits. i represents how many trades and f(i) function indicates as follows;

                                        f(i)= 1  ; in success trade,

                                               0  ; in unsuccess trade.

What is your ideas? :)
Best,

Murat Y.

cemal
1102
cemal  
You can google ''volatility based lot size calculation''.
Murat Yazici
1528
Murat Yazici  
cemal:
You can google ''volatility based lot size calculation''.

Thank you for your information, Cemal.

roshjardine
51
roshjardine  
Murat Yazici:

Hi all,

I hope you are well. I want to develop an intelligence lot size algorithm for a Reward/Risk= 1/6 ratio.
I use 5pips take profits and 30 pips initial stop loss points. I have developed an EA. It have completed its live test for 3 weeks.
It have obtained 81% success rate ( Total trades: 324, Profitable trades: 264). Because of 1/6 Reward/Risk ratio, the 81% success rate is not enough to be profitable  at the end of the month with " a stabil lot size".

If I can develop a intelligence lot size algorithm, I can be in a profit with 1/6 Reward/Risk ratio at the end of the month. I wonder if there are any person who want to work with me about creating an intelligence algorithm via forum. If we have a success, we can apply this intelligence algorithm on a lot of system to be in a profit.

What is your approach? I have create the system's mathematical optimization model as follows;

                       The Aim Function: max i lotsizei (35f(i)-30)

                                 Constraints: lotsizei >=0.01,

The aim function aims to obtain max. profits. i represents how many trades and f(i) function indicates as follows;

                                        f(i)= 1  ; in success trade,

                                               0  ; in unsuccess trade.

What is your ideas? :)
Best,

Murat Y.

81% out of optimized math function is already good...you just need to reduce the noise with the losses...maybe cleaning out 9% losses so you get 90% is the easiest way..just thoughts...
el_looto
56
el_looto  
Murat Yazici:

Hi all,

I hope you are well. I want to develop an intelligence lot size algorithm for a Reward/Risk= 1/6 ratio.
I use 5pips take profits and 30 pips initial stop loss points. I have developed an EA. It have completed its live test for 3 weeks.
It have obtained 81% success rate ( Total trades: 324, Profitable trades: 264). Because of 1/6 Reward/Risk ratio, the 81% success rate is not enough to be profitable  at the end of the month with " a stabil lot size".


What is your ideas? :)
Best,

Murat Y.

Ask yourself, "What am I doing with my profit from winning trades?" and "How can i use that to insulate myself from bad trades?"

Also, from 15 years experience; its easier to win big than win often. Good money management means being able to be wrong. A lot. This takes the stress out of trading.


And also... why are you willing to be in a bad trade for 6 times longer than a good one?

Murat Yazici
1528
Murat Yazici  
el_looto:

Ask yourself, "What am I doing with my profit from winning trades?" and "How can i use that to insulate myself from bad trades?"

Also, from 15 years experience; its easier to win big than win often. Good money management means being able to be wrong. A lot. This takes the stress out of trading.


And also... why are you willing to be in a bad trade for 6 times longer than a good one?

Hi el_looto,

Thank you for your ideas and approaches. I will take that. I agree with you.

According to the literature and studies, max. 1:3 Reward/ Risk Ratio is suggested to traders to be in the profit for long term. However, if your system has a high winnig rate with lower than 1:3 Reward / Risk Ratio, the system can be logical and usefull with not in stabil lot size. I have 81% winning rate. So, 1:6 Reward / Risk Ratio is ok for me.

Also, my EA opens about 20-25 trades in a day. So, if I has a wrong trade, my EA can recover the loss in a day.

Thank you again! 

Icham Aidibe
11796
Icham Aidibe  

I used to search for a pure mathematical model based only in money management, involving risk-reward, martingale,hedging, locking ... all those rudimentaries technics well known ... 

To keep it purely mathematical I was using only random entries, with no signal : so there was no optimization needed.

I got some good results but only on the first 4 months of the year 2018. Everything before and everything after is ???? : I admit I don't understand why.

I even asked for some help to a friend of mine particularly good in mathematics ... but he was busy, and didn't want to lose time on a project with no guarantee of profit

Finally the project has started ????? annoying me, it is now discontinued 😓😓😓😓😓 waiting for a new breath.

check it out.

Keith Watford
Moderator
23572
Keith Watford  
Icham Aidibe:

Please do not use expletives in your posts. You could be banned.
Replacing a letter with "*" will not do.

Icham Aidibe
11796
Icham Aidibe  
Keith Watford:

Please do not use expletives in your posts. You could be banned.
Replacing a letter with "*" will not do.

😛👍👍👍

Lorentzos Roussos
21767
Lorentzos Roussos  

Interesting . How much of the loss is due to spreads and commisions ? 

I'll go with the first thing that comes to mind here -although extremely naive- : 

If you reverse the system will you end up with a 19% win rate which outweights the losses ? 

Murat Yazici
1528
Murat Yazici  
Icham Aidibe:

I used to search for a pure mathematical model based only in money management, involving risk-reward, martingale,hedging, locking ... all those rudimentaries technics well known ... 

To keep it purely mathematical I was using only random entries, with no signal : so there was no optimization needed.

I got some good results but only on the first 4 months of the year 2018. Everything before and everything after is ???? : I admit I don't understand why.

I even asked for some help to a friend of mine particularly good in mathematics ... but he was busy, and didn't want to lose time on a project with no guarantee of profit

Finally the project has started ????? annoying me, it is now discontinued 😓😓😓😓😓 waiting for a new breath.

check it out.

Hi Icham Aidibe,

I hope you are well. It was very intelligence approach to use random entries becuase you could focuse your mpney management model etc. firstly.

I have B.Sc. in Statistics and M.Sc. in Quantitative Methods degrees. I have several scientific papers including robust and fuzzy statistical modelling. I have also conference presentations around the world.

I think that I can improve your model and determine why you had bad results after 4 months, if you want. 

The Signals and its logic is very important. However, the money management is more important than them, I think to be in a profit at the end of a month. 

I used to some techniques for my EA's logic such as deep and reinceforcement learning, q learning etc. These appraches very inteligence approaches. For examğle, A kind of Neural Network called CNN can

be applied on the money management model.

I am willing to work with you. If we can have a success, the money management model can be applied on many systems including different winning rates and Reward/Risk Ratios. 

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