Traders' Roundtable

Adrian77,

I run across some answers for your question while I was searching for something else.

According to this book:

Beyond Technical Analysis,
How to Develop and Implement a Winning Trading System
Tushar S. Chande, PhD

"The statistical theory of design of experiments says that even complex ...

Adrian77,

You already understand the concept, that simpler (but not too simple) system works more robustly than a more complex system. Unfortunately beyond that I don't know any numerical rules, that tells you exactly how many rules are too many.

However Walk Forward testing will likely tell you ...

Christian,

Wave59 and many other similar software gives you an ENTRY signal. Entry signals are 20% of a trading strategy. Unless all other part of your strategies are done to your satisfaction, I wouldn't spend $2500 on entry signals that TB and many websites provide free.

If you care to know ...

I managed to create a sample chart that shows the typical a trendfollowing characteristics.

The only thing that I didn't do, I didn't normalize all the trades to start from 0.

It is a pain in the neck to create manually these chart, I wish it would be a built in feature of TB.

Thanks again for ...

Thanks Sluggo,

I don't feel that bad now that even your brilliant mind couldn't clarify it.

I have c.f.' book, and I reasonably understand how he calculated it. (Reasonable means, I have yet to recreate the calculation in Excel.)

Since it supposed to be a risk / reward calculation, and although ...

Thanks Sluggo,

I really appreciated your detailed answer.

Based on your explanation if I understand:

Expectation Ratio = expected profit per dollar risked = avg trade outcome / avg trade risk = (avg win – avg loss) / avg loss = ((Probability of Win * Avg. Win Size) - (Probability of Loss * Avg ...

Thanks, I will try to create one.

explorer

Sluggo,

I would be very interested to know, how these types of charts are created?

Kind of thinking to create similar charts to track the development of a group of trades bar by bar.

Would you mind to share your chart expertise? Did these charts come from TB or Excel or ???

Thanks,
explorer

Hi,

I am aware of this post (see below), but that was written before c.f. created more robust measurement methods.

http://www.tradingblox.com/forum/viewtopic.php?t=17&postdays=0&postorder=asc&highlight=optimization&start=0

If I would like to find a more robust measurement to optimize for profit ...

AgeKey,

Thanks for your in depth reply. I will explore the MAE based stop settings to put the technique in bed one way or another.

I agree with your research path. When I traded on shorter term, I only used tick charts.

The MarketDelta based approach is working (I know someone who using it ...

AgeKey,

I am sorry that you lost interest, although by now, you obviously know that the "edge" has nothing to do with stops. It simply will tell you, do you have a statistical adventage at any given time. Of course shorter term system like I think you work with have to have stops, so it was natural ...

AgeKay,

Are you still monitoring this thread? If yes, I am ready to talk, but you asking so many questions, that I don't know where to start. So I start here:

1. How much edge should I be looking for? That is, what is the minimum edge ratio that I need to be able to trade profitably. Is 1.2 or 1 ...

AgeKey,

c.f. and Tim generously helped me out with the installation in another post, so let me run a bunch of tests this weekend then get back to you to continue the discussion.

explorer

AgeKay,

I would like to have an in-depth discussion, but unfortunately I am unable to run the system yet. (No trades)

I have the MACD Reversable PM in the Portfolio Manager
Donchian Entry in the Entry block
Donchian Entry and Entry Edge Tester in the Exit block
Multi Money Manager in the Money Mgr ...