Creating a positive IO

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By popular demand: Positive mathematical expectation (PEM) over a long trading period...

  • the definition of CSI and its options;
  • is it even possible?
  • in what ways can it be created?
  • Examples of systems with positive expected payoffs;
  • why most traders cannot create it; what prevents them from doing so?
  • is it possible to create it on a random walkover chart?
  • Profit/loss ratio in systems with positive expected payoff (PEM);
  • The maximum length of series of losing trades in systems with PMO;
  • is it possible to create positive IR with trailing stops?
  • is it possible to use the underlying MT4 indicators to create a POM?

These and other questions...

Please do not discuss in this thread:

  • Martingale;
  • soft martingale variants, ilanes, etc.;
  • psychological aspects of trading;
  • Pipsing strategies, strategies with TP and SL comparable to spreads/stopleaves;
  • trading spreads and gaps;


If possible, please back up your opinions:

  • understandable (even to a high-school student) mathematical calculations;
  • testing results (stats) in MT4;
  • research scripts showing price effects;
  • Expert Advisors and scripts;
  • ...drawings, charts and screenshots;


Please give your opinions,,,, later I will give my ...

 
is it possible to create positive MO with trailing stops? - No, trailing stops reduce OD, tested.
 
FAQ:
is it possible to create positive MO with trailing stops?- No, trailing stops reduce the MO, it's been tested.
What is the reason for this decrease?
PS: I'll send you later the Expert Advisor in the tester, without trailing stops it does not give any profit at all on a long history, I'd be interested in your opinion.
 
DmitriyN:


Dimitri, how do you calculate the probability that per 1000 coin tosses, tails are 1.5 times as likely as heads?
 
DmitriyN:

By popular demand: The positive mathematical expectation (PEM) over a long trading period...

  • What are the ways to create it?
  • //
  • //

Who knows, will not tell for sure.


 
FAQ:
is it possible to create positive MO with trailing stops?- No, trailing stops reduce OD, it's been tested.
I have a different experience. When using trailing stops, all system indicators of one of the strategies improved.
 
jelizavettka: Dimitri, how do you calculate the probability that per 1000 coin tosses, tails are 1.5 times as likely to fall as heads?
A coin toss is not a coin. The question is off-topic.
 
jelizavettka:
Dmitry, how to calculate the probability that on 1000 coin tosses tails will fall out 1.5 times more often than heads?

And it is also interesting, on what interval from the first flip such ratio is most probable (for on the interval of 1000 flips such ratio is practically impossible. see fig. below).


 
Mathemat:
Market is not a coin. The question is off-topic.

Alexei, I'm just interested in the calculation mechanism itself...

After the externship session and the subsequent walks, I'm not thinking straight ... and I'm lazy).

Could you write the formula for the final calculation, please...

 
prikolnyjkent:

And I also wonder at what interval from the first throw such a ratio is most likely (for at 1000 throws such a ratio is practically impossible. see figure below).


Ah, as Alexei wrote... the market is not a coin... and it can be.... It would seem that with SL=TP trades on random quotes there would be a probability distribution like that of a coin.
 
Trailing decreases the expected payoff because trades are closed with a smaller profit compared to a correctly calculated TP. Of course, if there is no TP, or it is not realistic for this strategy, then it's a different story.
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