"Trees don't grow to the sky" - page 44

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m_a_sim:
If the trader plays the system, it is really better to invest on failures, because a series of profitable trades is followed by a series of losing trades, and the more losing trades, the more likely profitable ones are. There is even a strategy to increase lot volume after a series of losing trades (not to be confused with martin). With every losing trade the probability of a profitable one increases. According to this logic, when the trader's equity grows, he/she should withdraw funds :))) and deposit them again :))

Do you have a mathematical proof of these assertions? What makes you think that a series of profitable trades should be followed by a series of losing ones?
 
Roman.:


Well, why... :-)

I was filling up on the drawdown, because the roll was once a day, so the money came right out of the drawdown.

So, all is well here - we buy the bottoms, sell the tops - the system is a counter-trend system... :-)

If the trend has begun, it will continue ... :-)


Well, according to your picture, that's exactly what happened ))))

You poured in on a local drawdown, hoping it would be global. And it turned out to be a local one. And you got out by the global drawdown. )))

 
C-4:

Do you have any mathematical proof of these claims? What makes you think that a series of profitable trades should be followed by a series of losing trades?

No. This is not a statement, but a theoretical assumption as stated in Larry Williams' "The Long-Term Secrets of Short-Term Trading".
 
LeoV:

Here, by the way, we as investors face the same problem as traders - investing at the highs and exiting at the lows, when it should be the other way round.

How do we avoid this problem?

There is no solution. The main problem is the extreme instability of any statistical characteristics of the vast majority of PAMM's. Suppose the manager is a hidden cheat and averaging. In addition he, for example, is a zealous believer in the eternal growth of silver. For a year or two or three the silver grows, and PAMM's quantity also increases. But all good things come to an end, the bubble bursts. Characteristics of his PAMM has abruptly changed, but we analyze his past statistics. We see the drawdown and think "Great! Now we can invest" - we hope that this drawdown is a part of statistics that was before. But in fact everything has changed. Now this drawdown is part of an entirely different, new and scary PAMM under the old name.
 
C-4:

Do you have any mathematical proof of these claims? What makes you think that a succession of profitable trades should be followed by a succession of losing trades?

I guess it's about the same as the sun after the rain.
 
C-4: Do you have any mathematical proof of these claims?
Unfortunately or fortunately, there are no mathematical studies of this nature, so you can claim anything in this regard and it may be true. Or maybe not.....))))
 
C-4: Let's say the manager is a latent cheat and an averaging addict. For example, he is convinced of the infinite growth of silver. For a year or two or three, silver is growing, his PAMM equtiity is also growing. But all good things come to an end, the bubble bursts. Characteristics of his PAMM has abruptly changed, but we analyze his past statistics. We see the drawdown and think "Great! Now we can invest" - we hope that this drawdown is a part of statistics that was before. But in fact everything has changed. Now this drawdown is part of an entirely different, new and terrible PAMM under the old name.

That's what I wrote - investing in an obscure manager on the basis of equity alone carries, as it turns out, great non-trading risks.....))))
 
m_a_sim:

no. This is not a statement, but a theoretical assumption as stated in Larry Williams "The Long-Term Secrets of Short-Term Trading"


A fan myself of Larry Williams and all his books. But finding seriality is too nontrivial a task to be fully solved by the same Z-Score. Introduction of an additional submodel into the trading/investing model is fraught with danger, because it always introduces an additional degree of freedom for risk. The simplest example:

x y x y x y x y

Great seriality isn't it? What if she's just part of a random process:

xxyxyyyxxxyyxyxxxyxyxxyxyxyxy xyyyyxxyxyyyyyxyxyyyyxxx
But that's not what the topic is about.
 
any investment involves risk. but your definition of trading risk would be interesting.
 
LeoV:
Unfortunately or fortunately, there are no mathematical studies of this kind, so anything can be claimed in this regard and it may be true. Or maybe not.....))))

Well in that case, I'm either a genius or a madman, because I have such studies... No, more like a madman.
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