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