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dangermouseb
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Introduce Yourself Here - Don't Be Shy!!
dangermouseb replied to trading4life's topic in Beginners Forum
As I said there are many who offer advice. Don't believe any of it until you've figured out how to evaluate advice - and don't believe this because I've said it but believe it because you've yourself understood it to be true. There's a good section on that in Rampaging Bulls. Bon chance. -- DM -
Introduce Yourself Here - Don't Be Shy!!
dangermouseb replied to trading4life's topic in Beginners Forum
I recommend you take your time. Even with a PhD in stats it'll take you a long while to figure out how to make money trading. There are many people who will happily charge you for the pleasure of listening to them. They sound convincing but until you know how to assess accurately what they say don't believe them. -- DM -
Python, pandas, numpy, scipy, matplotlib, r and rpy would be my recommendation now.
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Mathematics of Stops: Choose Your Desired Win Rate
dangermouseb replied to Predictor's topic in Trading
Would you care to post evidence of your 80% sucess rate? Best -- DM -
Mathematics of Stops: Choose Your Desired Win Rate
dangermouseb replied to Predictor's topic in Trading
This is basic probability / random process theory. Thx for the post. It amazes me that so many people argue with it. So my questions to you Predictor are 1) given that you're careful in your discussion so far, do you have statistical evidence that your techniques work? 2) if so are you willing to share that evidence - publically or privately (I'm not initially interested in the mechanics of the technique)? -- DM -
>> BTW about my actual trading, its way ahead of keeping XL journals, lets drop it altogether. Apologies - don't mean to preach to the choir. >> Yes I know, but I mentioned for those who may be interested to track live trading. (Historically everything looks obvious) I've looked at too many systems where people think they have an edge but don't so now I don't even bother unless I can get a good cross-validated information ratio from their results first, and their method is sound (including record keeping in an electronic form). Saves a lot of time. Most recent one was a friend who wanted me to implement a wavelet thingy but threw away his broker records on a daily basis!! Next!!! ;o) -- DM
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9 trades isn't enough to make any statistical inference from. I'll have a look when you have 30+. You might want to keep exact records (e.g. in XL) for your own analysis purposes. (simplest form is entry time, level, size, and same for exit, I also keep a list of all my stop levels and time) additionally I keep notes on my thoughts and feelings as a journal - though that is becoming less relevant as I become more statistically focussed. -- DM
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I'm not certain we are talking the same thing. The point I'm putting forward is that an entry or exit can't have an edge by itself. So without a specification of how to exit (which could be as simple as a coin flip) it is not possible to say an entry has an edge. I'm not sure what you mean by position sizing. Van Tharps is about managing your betsize to be consistent with your objectives. If I consistently betted 10 times the size on the worst performing stock in your portfolio then I'd have a very different outcome compared if I betted 10 times size on the best performing stock. Size of the trade is part of the strategy. Expectation, volatility and covariation with other postions are key. Unconditional probability of reaching a target doesn't mean much. I'll have a look later at you trades - do you have them in spreadsheet form? Cheers -- DM
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DoOrDie - I think you've missed my point. It's the expectation that counts not the probability. As I said I can easily create a system that has 90% winners but has no edge. I've yet to see a traders account that opens the scale of their edge (not the method) up to analysis. I notice a tendancy that people like to say they are winning but don't like to be accountable. I only had a brief look at the page you post but it doesn't look like people are posting enough information. It's not possible to analyse "it's going to x", without knowing what action's would be taken if it does something different. So saying it's going to x before it takes out my stop at y (or some other exit measure) is possible to analyse. -- DM
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Joshdance thx for the analysis - I did get you mixed up with the original. Apologies. I was hoping to flush out the BS which you did for me. It strikes me that people say all sorts of nonsense that cannot be backed up empirically. Especially like x happens y% of the time. I can construct a trading system that makes money 90% of the time with no difficulty. The challenge is that when it looses it looses 9x as much as it wins so overall I have no edge!!! ;o) I've not met a trader (yet) who makes strong claims (50.5% winners would be my cutoff) and is willing to put their trades up for analysis. ValueTrader - great quote - how do I become a client ATB DM
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Anyway Josh... how did you determine 80% accuracy? would be interested to see your method and results... thx
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How have you determined that it is 80% correct? Backtest?
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How do you calculate the value area? top 80%, bottom 80%, 40% either side of the median?
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Seems pretty straightforward. Everybody looses the bid-ask spread and commisions on average. Anybody taking more risk than is sensible for their account will loose because they will hit the point where they are broke. (Basic position sizing). Whether that corresponds to 90% of traders or not I don't know. Anyone with zero edge who places appropiate betsizes will gradually drift down at a rate determined by the bid ask spread and commissions with noise superimposed. I assume then as people blow up their account they then look for things to blame (e.g. wrong indicator etc) rather than just admitting they have no edge yet. -- DM