Why is it that when TC becomes obvious to most market participants it stops working? - page 9
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Yes, that's a good point. Don't put all your eggs in one basket.
In fact, one way to do it is with a multicurrency. But it's not easy to make one intelligently...
The only possibility to create a grail, is to combine mediocre, but working on many instruments strategies in one whole.
Clarke had a similar idea somewhere.
They create a formula. Sometimes, when they get naked, they create a formula for love. It is customary to seek the grail in order to drink it, and so on, according to the scheme.
About mediocre * N: will be equal to N * mediocre. With one egg in the next basket.
Насчет посредственного * N: будет равно N*посредственных. С одним яйцом в соседней корзине.
That's where you're wrong... and the tests confirm it. I just multiplied one mediocre strategy by 10-15 instruments and got an output of 60,000 pips over 10 years, with a balance curve very similar to a straight line. Is there a single Great strategy that can profit with such consistency and in such quantity while working on a single instrument? I don't think so. Applying a competent capitalisation to this chart can produce several tens of millions of dollars, all in ten years. This is not a hackneyed statement - it's simple maths and statistics applied to ridiculous but sustainable solutions.
Capitalisation (reinvestment) will add a little to profitability but not much.
There are many methods of money management, from doubling bets when you lose (martingale and its variations), to optimal f Vince. Some of them are effective, many are not. If by reinvesting you mean using cheesy and just dangerous fixed-fraction method of building up positions like "risk per trade 2%", then yes, of course, the result will be mediocre, and the additional gain from using this strategy will be overshadowed by increased maximum drawdowns.
I have personally managed to break 10,000 pips of profit gained over ten years to $500,000 - $700,000, starting with 0.1 lot and an initial $10,000 depo. Personally, I have used and am using Ryan Jones's fexy-proportional capitalisation method.
Therisks will increase proportionally as with other instruments (by the way, the results are also positive on them, but a bit worse).
Oh my dear colleague, perhaps this is one of the cruelest misconceptions preventing you from getting strong, sustainable results! The whole point is that when you diversify (connect additional instruments) the risks do not increase proportionally, but according to their own unknown formula, close to the average formula. The same Ryan Jones has written about this very well. The point is that if we have a profitable strategy that is making 10 000 points on EURUSD with maximal drawdown 5% and the same strategy is making 15 000 points on gold, but with maximal drawdown 11%, then, hold your breath, the total profit is summarized and equals 25 000 points, while total maximal drawdown will be close to the average drawdown of instruments or (5% + 11%) / 2 instruments = 8%. I.e. these are different incremental laws, as a result the profit and risk functions will diverge!!!
Important note. It is necessary to choose non-correlated instruments so that the points of maximal drawdowns for each instrument would not overlap on the time axis. That's why I think that focusing only on Forex is even dangerous.
That's where you're wrong... and the tests confirm it. I just multiplied one mediocre strategy by 10-15 instruments and got an output of 60,000 pips over 10 years, with a balance curve very similar to a straight line. Is there a single Great strategy that can profit with such consistency and in such quantity while working on a single instrument? I don't think so. Applying a competent capitalisation to this chart could produce several tens of millions of dollars, all in ten years.
Oh, my dear colleague, perhaps this is one of the cruelest misconceptions preventing you from getting strong, sustainable results! The whole point is that when you diversify (connect additional instruments) the risk increases not proportionally, but according to its own unknown formula, which is close to the average formula. The same Ryan Jones has written about this very well. The point is that if we have a profitable strategy that is making 10 000 points on EURUSD with maximal drawdown 5% and the same strategy is making 15 000 points on gold, but with maximal drawdown 11%, then, hold your breath, the total profit is summarized and equals 25 000 points, while total maximal drawdown will be close to the average drawdown of instruments or (5% + 11%) / 2 instruments = 8%. I.e. these are different incremental laws, as a result the profit and risk functions will diverge!!!
Important observation. It is necessary to select correlating instruments so that the points of maximal drawdowns for each instrument would not overlap on the time axis.
Thanks, colleague. Haven't really dug in this direction yet, looks like the time has come. Useful observations.
That is why I believe that it is even dangerous to get hung up on forex alone.
Why do TCs stop working over time?
Can you give an example. TS such-and-such works before.... and doesn't work after....
And what does obvious mean to most?
Can you give an example. CU so-and-so works before.... and doesn't work after....
And what do you mean by obvious to most?
If you carefully read the whole thread, you'll see what we're talking about, but in a narrower sense, just take some MTS from that codebase, optimize it for 2008 and run it in 2009, will it show the same result? I doubt it... it turns out that in 2008 it was earning and in 2009 it's not, so here's an example of "it worked before.... and does not work after....", although it's not really about that, it's not my statement "it stops working" many people here think so, so i wanted to hear the opinions of those who think so and those who don't.
it turns out that in 2008 it was earning, but not in 2009, so here's an example of "it worked before.... it worked before.... and doesn't work after....
The strategy from the base is not a good example. I doubt that this strategy was actually used by the majority in 2008 (and was making money), but not in 2009.
Apparently we misunderstood each other. And I didn't mean Forex or MTS. And you probably meant it.
The topic is not phrased correctly. Most people cannot trade on one system. I doubt that most can also use some general, want fundamental, principles (e.g. a decline in inflation - a signal to buy stocks (in the US) was fair in the 80-90s and absolutely harmful from 1998 onwards (now vice versa)).
In forex, the statement that the engine of currency movements is the interest rate differential (calculate, for example, LIBOR for the Euro-Bucks) is true. And this principle will never change. But whether it will be used by the majority (although it is obvious) - I doubt it.
Тема в принципе сформулирована не корректно. Не может большинство торговать по одной системе. Сомневаюсь, что большинство может использовать и некие общие, хотите фундаментальные, принципы (например, снижение инфляции - сигнал к покупке акций (в США) был справедлив в 80-90 гг. и абсолютно вреден с 1998 г и поныне (теперь наоборот)).
Generally speaking, lower inflation is a signal to buy bonds in order to resell them later at a higher price (bond yields fall, price rises), not a signal to buy stocks. Lower bond yields mean an influx of liquidity to riskier stocks, which causes them to rise. Don't be facetious about what works and what doesn't if you don't even understand the cause-and-effect mechanism of cross-market analysis.
The trading strategy that has become known to all does not stop working, but its profitability decreases in inverse proportion to the degree of spreading of the system and, at the same time, increasing the efficiency of the market. The possibility of arbitrage between forwards/futures and the spot market was once "invented". Anyone who mastered the rather primitive mathematics of the process could and did make huge money. Time has passed. The strategy still works, but only very fast ones can use it today, and they make only a tiny bit. And for all the rest a simple rule - arbitrage is impossible. The market has become more efficient.
Consequently, yes, the market changes under the influence of good strategies, but the strategies do not stop working. The guarantee of changing the market and keeping it in its new changed form is precisely the continuation and active use of these strategies. The market changes very slowly and you can really see them on the historical charts. The market aspires to the efficiency described by the classics, but it will never achieve it due to the fact that it is made up of human beings who are irrational beings. As a function (profit function??) that aspires to zero, but never reaches it.
By the way, there are "perpetual" strategies that have worked before and work now equally - without diminishing returns. It's truly amazing, but they do exist.