Question for someone good at mathematics - page 2
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Hm, well not as good as the theory sounds. I assume we cannot beat the odds because we are not able to control the lotsize with enough precision.
Can you try to increase the initial deposit as well as the base lotsize, (Should increase the precision of the lotsize modifier)
That didn't work, it had a relative draw-down of 41.64% similar to the original. Of course I don't think any lotsize manipulation is going to over any negative system's edge. But wait, I still have that near break-even system to test, I'll go ahead and give that a go now.
Added: the theory didn't help the System 14 results either lol, I really taught it was going to put the profit above 0. Oh-well.
Here are some thoughts. The house edge in roulette on a 50/50 bet playing on a US table 0, 00
E = ((1*18/38)+(-1*18/38))*100
E = - 5.26 <--- Over long term play.
You got similar results in your test with 21\20
What if the roulette wheel had 00, 0 and 1-100 same bet
E = ((1*50/102)+(-1*50/102))*100
E = -1.26 <--- Over long term play.
So if you increase the sl tp in will the win\loss ratio shrink in forex as well even with the spread?
If it does, the second number is much smaller to overcome then a real roulette table. Is it possible using only money management to turn a randon guess into a 50/50 split or slightly better?
fx has lots of things going against it but less so then roulette.
I can + to a winner and - from a loser. I can also walk away when I am up. I can't remove my bet if I on't like the way the ball is rolling on the wheel. In fx I can walk away with less then a full win and less then a full loss. In roulette I have to stay until the ball stops rolling, but I can still walk if I am up at any point 53% chance of losing does not mean I can never be up. I can walk, if after 45 rolls I have won 25 and the house has only won 20 so far. Over long term play that ratio would happen often.
Yeah danjp, thats one of the question I was plundering when I decided to create this case-study. Does a long term trader (someone looking for more profit) somehow stand a better chance than a scalper (5 pips average take). The best thing trading has going for it is, we think we can predict where the market will go. <-- Right after writing that statement I realize it's a double-edge sword as that'll then imply the one can mis-predict the market and become worse than random.
The more Black/Red or Even/Odd the house adds the less money they'll make as the players -edge inches closer to 50/50 but will never get there as long as there's a single Green or 0 on the wheel. If price movement is again a random fe-nom, or no-one can predict it better than 50/50, (I personally don't think anyone could predict much more than fractions of 2% above 50/50 ... as they'll be filthy rich ... or the opportunities could be incredibly rare) then looking for 5-pip take-profit while having anywhere more than 2 pip Sl and Spreads sounds crazy to me. Well unless you're going after the brokers Spreads .... in which case they'll throw you out like the real House.
I believe the so-called pro's / mathematician / numbers people will recommend we look at the long-run. Take for example the Oscar's Grind I simulated - it almost doubled the deposit before crashing - . Had your goal been to make $5000 for your engagement ring and never play the markets again, you'd had a good chance of getting there. The draw-back are of course the gut wrenching draw-downs, however you'd reach your goal much likely (and faster) compared to trading (in it's native form) a system showered with praise on a popular website.
As to your points. And I do agree with most of them.
So if you increase the sl tp in will the win\loss ratio shrink in forex as well even with the spread? My guess is Yes (but I'm just wishful thinking). It's one of the test I'd planed to run. I choose the single 0 game to see where the closest Tp/Sl would be in order to match it. Plus I wanted to give roulette a chance by putting it's best foot forward.
If it does, the second number is much smaller to overcome then a real roulette table. Is it possible using only money management to turn a randon guess into a 50/50 split or slightly better? We've tried that with Zzuegg's approach and it failed. Every Trading/Professional Gambling book or website I've visited always say the same thing like its the 11th commandment. "Money management cannot overcome a negative edge". One have to find a system with Positive Expectation and then employ MM. But I guess I'm just preaching to the choir on this site lol.
I could try using Oscar's Grind (or some other Progression) on the Break-Even system. Or on the roulette system with larger Sl/Tp. My feeling is that this'll give you a better chance of reaching a realistic Goal. However with infinite runs comes the sure chance of going broke.
fx has lots of things going against it but less so then roulette. I dunno about this one, people have to work really hard to find that silver bullet.
I can + to a winner and - from a loser. And what do you do when the market turns after your pyramid or scale out?
I can also walk away when I am up. The casino is happy to tell you to leave when you're up. The problem is some day you return.
I can't remove my bet if I don't like the way the ball is rolling on the wheel. I don't think this'll give you an edge. If the ball lands on your number or market turns to your favor. You'll have buyer's remorse and be psychologically battered next time you're in that position again. Plus that'll be like the house giving you the option to surrender your wager but leave the spread on the table before you get to see where the ball lands. <--thats just the best case scenario if you decided to get out at break-even. Tho I don't play roulette, I don't think anyone will take that option, unless they got frighten that they're going to lose the rent money and spazed out.
In fx I can walk away with less then a full win and less then a full loss. This is admittedly one of the short coming of this case study, or kelly, optimal-f, or most advance money-management within books etc. They're usually assuming equal out-comes, or draw-down or something standard. Once you start varying like that, it makes the math harder to a)setup and b)execute. If my math is wrong then my entire mm is wrong. Anyways, how does one know if this makes matters better or worse?
To the last part, a series of things must happen. You have to be lucky enough to win on the first visit to the wheel, you have to walk away and stay away. :). I'll see what I can do about testing by increasing the Sl/Tp for our standard game.
Yeah danjp, thats one of the question I was plundering when I decided to create this case-study. Does a long term trader (someone looking for more profit) somehow stand a better chance than a scalper (5 pips average take). The best thing trading has going for it is, we think we can predict where the market will go. <-- Right after writing that statement I realize it's a double-edge sword as that'll then imply the one can mis-predict the market and become worse than random.
I believe the so-called pro's / mathematician / numbers people will recommend we look at the long-run. Take for example the Oscar's Grind I simulated - it almost doubled the deposit before crashing - . Had your goal been to make $5000 for your engagement ring and never play the markets again, you'd had a good chance of getting there. The draw-back are of course the gut wrenching draw-downs, however you'd reach your goal much likely (and faster) compared to trading (in it's native form) a system showered with praise on a popular website.
As to your points. And I do agree with most of them.
So if you increase the sl tp in will the win\loss ratio shrink in forex as well even with the spread? My guess is Yes (but I'm just wishful thinking). It's one of the test I'd planed to run. I choose the single 0 game to see where the closest Tp/Sl would be in order to match it. Plus I wanted to give roulette a chance by putting it's best foot forward.
If it does, the second number is much smaller to overcome then a real roulette table. Is it possible using only money management to turn a randon guess into a 50/50 split or slightly better? We've tried that with Zzuegg's approach and it failed. Every Trading/Professional Gambling book or website I've visited always say the same thing like its the 11th commandment. "Money management cannot overcome a negative edge". One have to find a system with Positive Expectation and then employ MM. But I guess I'm just preaching to the choir on this site lol.
I could try using Oscar's Grind (or some other Progression) on the Break-Even system. Or on the roulette system with larger Sl/Tp. My feeling is that this'll give you a better chance of reaching a realistic Goal. However with infinite runs comes the sure chance of going broke.
fx has lots of things going against it but less so then roulette. I dunno about this one, people have to work really hard to find that silver bullet.
I can + to a winner and - from a loser. And what do you do when the market turns after your pyramid or scale out?
I can also walk away when I am up. The casino is happy to tell you to leave when you're up. The problem is some day you return.
I can't remove my bet if I don't like the way the ball is rolling on the wheel. I don't think this'll give you an edge. If the ball lands on your number or market turns to your favor. You'll have buyer's remorse and be psychologically battered next time you're in that position again.
In fx I can walk away with less then a full win and less then a full loss. This is admittedly one of the short coming of this case study, or kelly, optimal-f, or most advance money-management within books etc. They're usually assuming equal out-comes, or draw-down or something standard. Once you start varying like that, it makes the math harder to a)setup and b)execute. If my math is wrong then my entire mm is wrong. Anyways, how does one know if this makes matters better or worse?
To the last part, a series of things must happen. You have to be lucky enough to win on the first visit to the wheel, you have to walk away and stay away. :). I'll see what I can do about testing by increasing the Sl/Tp for our standard game.
I just ran the test. First is 100 tp 100 sl
win % is 48.38 which is better then roulette. My avg win is still < my avg loss so even though this is close I m still losing on every trade. I think the spread is a pinch harder to overcome but it's really not 1 its variable and closer to 2.5 anyway so I ran a second test using 100sl and 110 tp I went with 110 because the win % should come down slightly becasue increase on the tp side.
He are the result to that one:
I ran both of these tesst 2x and they both performed about exactly the same. So I am not cherry picking anything here. I think these would need to be run several hundred times to get the average % win\loss etc but I think it should fall in this range.
Step 2 would be to apply a MM system to both of these senerios at these st tp level. I think I can dial down the 110 - 108 and still be even but I think I will just leave it this way for now. If I add a single 1/2 lot purchase to an order at a profit of 54.5 point and a sell 1/2 lot at a loss of -50 point Both of these should now become profitable. On the other test 100-100 I would need to do this at -50 and +50
Some other comments:
I can + to a winner and - from a loser. And what do you do when the market turns after your pyramid or scale out?
Nothing thats whats supposed to happen, 48ish percent of the time, and I should still win.
I can't remove my bet if I don't like the way the ball is rolling on the wheel. I don't think this'll give you an edge. If the ball lands on your number or market turns to your favor. You'll have buyer's remorse and be psychologically battered next time you're in that position again.
No, the wheel does feel better taking my money, and an EA is not going to get remose. If your EA has the small edge then you are the house. You win over the long run, or whatever the long run means.
In my calc adding a single 1/2 position lot to a winning trade at +50 point is what should give you the edge. The original 1 lot 50 trades 25 will go on to hit TP 25 will return to 0( not a loss a breakeven we change the wheel from -100 to 0). You will now have 50 1/2 lot trades at 50 so 1/2 will go on to hit TP +50 and half will lose and go to 0. This is assuming a 50/50 win loss. At +50 the win ratio is going to be higher but I am trying to keep the math simple. Remember the losing side is unloading 1/2 of the postion at -50. Not averaging down. 25 trades are going to reach -100 at 1/2 the original size and 25 trades are going back to 0 for no loss. on the winning side 25 trades are going to hit profit @ a full lot. That should make up the spreads and then some.
If that work out then you need to find a system \ filter that can give you just a few % advantage, this is possible. It would be a much lower bar at least.
Assuming this all play ou the way I think it will.
The arguments from danjp sound reasonable but i think you missed some important points.
Your statistics say that 48% of the trades go in your direction, this is true, but this does not imply that the trade goes directly in this direction. The opposide case is happening, 53% of the times the trade will first go 50points against you meaning that you close half of the position.
assuming that you do not recover the already close portion when the trade return to 0 implies:
24% of the trades are true winners with 100*1lot and 50*0.5lot
24% of the trades are small winners: -50*0.5 lot 100*0.5lot and 50*0.5lot which comes down to 100*0.5lot
On the other hand side your loss probably increase because of the 52% initial losses 47% will loss at more then the initial loss because they go first in your direction and you add some lots.
If you do recovery the close position when the trade returns the calculation gets even more complex because the hole 'ranging' can happen again.
I heavily assume that all this strategy brings to you is an additional trade, which means additional spread and an additional house advantage.
(Of course as always this might not be true if you have an edge)
Ok guys, I have some very interesting findings. Maybe this is as holy-grail as it gets. But I tell you one thing, I'll be focusing on this approach for the near future. Zzuegg's right in its original form it goes almost straight down-to-0 faster. However, I'll confirm danjp test's results above and that about all the hints I'm willing to give at this time.
A slightly modified version of danjp idea yielded the following and opposite results. I don't know if it proves/dis-proves anything substantial. Anyone who've responded to this thread can pm me and I'll give you the codes. The codes is nothing fancy and similar to the first code within this thread.
Looks interesting, curious to see the positionmanagement.
Well here's the codes which generated that. On second taught, the EU is the only pair which it performed like that upon. But also my EU is my only pair with a one-pip spread. Next smallest spread is USDJPY where it broke even. The rest, most of the time it went broke :(. Its pretty lazy coding didn't feel like building functions.