What are the odds in any given strategy?

What are the odds in any given strategy? And why is the amount of trades an important factor. Let's say we've a trading strategy with the same stoploss and profit target values. After 20 trades the strategy has a win/loss ratio of 70%. 

So 70% of all the trades were winning trades. This seems fantastic, but is it?

Instead of this strategy, we start coinflipping. Looking at a series of 20 flips might not be sufficient; each flip is independent, so it's quite possible to come up mostly heads or mostly tails. 

20 Coinflips

In other words, 20 good trades says nothing about the edge of a strategy

However, after flipping the coin hundreds or thousands of times, you'll start to notice the data converging on a pattern. If a strategy has more than 100 trades (with same stoploss and profit target values) and a win/loss ratio >50% it might have an edge

100 Coinflips

After 100 coinflips the simulated chance get very close to 0,5, so close to 50% chance of head or tail.

After 500 coinflips (or trades) the simulated chance got even closer to 50%

ProQuant US30 Kulb strategy

Lets take a look at the US30 Kulb strategy

This strategy have a current win/loss ratio of 57% after 221 trades. It has a sufficient amount of trades (coinflips) to be meaningful
Therefor I think that the US30 Kulb strategy has a slight edge in current market

Current US30 Kulb statistics

ProQuant US30 Kulb Strategy

More information about odds: https://blog.wolfram.com/

 

 

What is position size?

Position size determines the quantity a strategy opens a position with.

Static Trade size % 

The strategy opens positions using a set % of the initial Funds for trading

Example static trade size

Funds for trading: $100
Trade size: Static 75%
Current Balance: $100
The strategy opens a position with $75

Strategies with static trade size

Strategy Funds for trading Trade size (static)
Enigmo € 66 75%
Winter Journey € 66 75%
Dyme € 66 75%
Python € 66 75%
Orbion € 66 75%
Phenomic € 66 75%
Gutenberg € 66 75%
Gohugo € 66 75%
Kulb € 50 100%
Zircon € 66 75%
VioVox € 62 80%

 


Dynamic Trade size % 

The strategy opens positions using a set % of its current balance, meaning that the quantity used to open positions scales proportionally with the live result of the strategy

Example dymamic trade size

Funds for trading: $100
Trade size: Dynamic 75%
Current balance: $100
The strategy opens a position with $75


Example 2 dymamic trade size

Funds for trading: $100
Trade size:
 Dynamic 75%
Current balance: 
$200 (some profits have been made)
The strategy opens a position with $150 (75% of current balance)

Strategies with dynamic trade size

Strategy Funds for trading Trade size (dynamic) Current Balance
Teqtis € 60 85% € 123
Ace € 50 100% € 119

 

The DAXinator - Real Money report has been published.


Key Statistics: (8 Jan - 10 March 2020)

LONG Positions:


SHORT Positions:

All published strategies requires: Trading212 & ProQuant

Full report: PQ Strategy - The DAXinator

 

Online brokerage review of Trading212 has been published.

Link to full review: Trading212 Review

Link to Trading212 - Get Trading 212

Sunday, October 18, 2020 knoeioei Weekly P&L 204
Weekly report - Week 42 ( 11 Oct - 16 Oct '20)

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