Is this performance chart of this strategy look good?

• 11/01/2024 at 2:28 PM #239876
  WingYip

  may be you may advice the correct code to get the current position size which the latest capital can afford, thanks.

  

  WingYip

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  11/01/2024 at 2:46 PM #239879
  JS

  This is the basic version that I use:

  ONCE Capital = 10000

  ONCE MarginPerc=0.05

  IF StrategyProfit <> 0 THEN

  Equity = Capital + StrategyProfit

  Margin = Close * MarginPerc

  MaxPosSize=Equity/Margin

  EndIf

  

  JS

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  11/01/2024 at 3:52 PM #239881
  robertogozzi

  Instead of:

  once capital=8888 if strategyprofit <> strategyprofit[1] then capital = capital + (strategyprofit - strategyprofit[1]) endif

  1 2 3 4

  once capital=8888 if strategyprofit <> strategyprofit[1] then    capital = capital + (strategyprofit - strategyprofit[1]) endif

  you can write:

  once capital=8888 updatedCapital = capital + strategyprofit

  1 2	once capital=8888 updatedCapital = capital + strategyprofit

  so that you don’t have to do any math with the outcome of the strategy so far.

   

   

   

  

  robertogozzi

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  12/13/2024 at 2:15 PM #241397
  justisan

  Hi WingYip

  You either invented an „ATM“ spitting out kind of unlimited cash every day / week / month, or a perfect cash burning system, so perfect not for you but for your broker. While I assume you believe having invented an  ATM, I will try to collect my thoughts about why it could be possibly an AAM: account annihilation machine. I whish of course your equity grows kind of exponentially in live trading as it grew in backtest, yet personally I would not „buy“ such system because it does not match by far my criteria of „sound system“ – in fact its performance parameters are quite opposite of what I am expecting from competitive approach/trading system. So here you are:

  Win rate of your system is ~ 80%

  I think in trading markets one has to figure out how to a) survive and b) earn money by having win rate of 20% (ok, does not have to be exactly 20%, can be 10% or 30% – anyway well below 50%). I think high rates shown in any backtests are simply not sustainable, they will not continue. Or if they continue, account still might be wiped out – and this is because of other paramter, which is kind of always same behind systems with huge win rates:

  Avrg losing trades of your system are significantly bigger than avrg winners (in your system by ~ 1.5 times)

  I think in the competitive system avrg winners have to be 2x or 5x or 10x bigger than avrg losers, anyway bigger or much bigger than the losers.

  You might think you are okay with your avrg losers being bigger than winners – because anyway 80% of your trades are winners, so „probabilities“ are on your side? I don’t know how to express or explain that, but „win rate“ of what ever % is not a probability. It is not a probability in the common sense like we know it from school or university, it is not a probability at all. According your backtest you had 5 consecutive losers at maximum. What about if you have in the future 15 consecutive losers? Or 25? You think it’s kind of impossible because you have proven 80% probability of winning? Long, very long series of losers might come sooner than you think, and more frequent that you think is possible with the (historical) win rate of 80%.

  You tell you increase position after losing trades. Check out then what happens with the equity if you have 15 or 25 consecutive losers and after each one you increase the position. Will you be comfortable with the outcome? Will you continue trading? And it does not have to be consecutive losers: check out what happens if you have winner/loser/winner/loser… etc with 15 winners and losers following each other and after each loser you increase position.

  You tell:

  „as long as the core system is a overall winner, the money management is a bonus“

  I would like to say – no, it’s not a bonus. it’s crucial part of the overall strategy.

  Broker’s agents looking at your system’s backtest performace would probably cry to you „perfectly done! Put now maximum money to your account and run it live“.

  I tried to do the opposite. Maybe it inspires you, and maybe even saves you some hundreds or thousands of BGP. I wanted to make you a bit sceptical when ever you see (or develop yourself) a system with exponential equity growth. With some tricks and „optimization“ it’s not so difficult to develop such backtests. But markets are not ATMs.

  Cheers

  justisan

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  Leo440, GraHal

  

  justisan

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