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Rob,
Based on Tharp, what this is telling you is that for every dollar you
risk you could expect to make 936.90 dollars on the average over many
trials. I ran your numbers in excel and came up with an expectancy of
935.39.
What are you having trouble trying to understand. Based on this system
you average win to loss is slightly over 4 to 1.
Anthony
bowbie89 wrote:
> Anthony,
>
> Here are the numbers -
>
> System Expectancy = 936.90
> Average Win = 3,412.77
> Average Loss = (851.22)
> Percentage Win = 41.9%
> Percentage Loss = 58.1%
> 31 Trades
> 13 Winners
> 18 Losers
>
> Rob
>
> --- In amibroker@xxxx, Anthony Faragasso <ajf1111@xxxx> wrote:
> > Rob,
> >
> > If you could supply me with these numbers for your system:
> >
> > % Winning Ttrades:
> > % Losing Trades;
> > Average amount of Winning trades: $
> > Average amount of Losing Trades: $
> >
> > Anthony
> >
> > bowbie89 wrote:
> >
> > > Hello Anthony,
> > >
> > > That is how I calculated my expectancy of $937 in my earlier
> post. I
> > > am trying to whittle it down to get the expectancy per dollar
> > > risked. I'm starting to think I just take the results as is but I
>
> > > don't know the answer as to why.
> > >
> > > Rob
> > >
> > > --- In amibroker@xxxx, Anthony Faragasso <ajf1111@xxxx> wrote:
> > > > Hello Rob,
> > > >
> > > > Have you seen the formula for expectancy on Page 143 of Tharp's
> > > Book.
> > > >
> > > > System has 90% winning trades, average winning trade is 275.00,
> and
> > > 10%
> > > > losing trades, average losing trade is 2,700.00:
> > > >
> > > > Expectancy=(.90 * 275)-(.10*2700)=-22.5
> > > >
> > > > The system although 90% winning trades is Negative Expectation.
> > > >
> > > > Anthony
> > > >
> > > > bowbie89 wrote:
> > > >
> > > > > Hello Jerome,
> > > > >
> > > > > This was a test just on one stock(MSFT). I'm still not seeing
>
> > > this
> > > > > clearly. My overall system expectancy is $937 by taking my
> net
> > > > > profit and dividing it by the # of trades(31). I am risking
> 1%
> > > of my
> > > > > equity as you can see in the code below -
> > > > > Capital=100000;
> > > > > risk=.01*Capital;
> > > > > shares=risk/Max(2*ATR(10),2*ATR(3) );
> > > > > PositionSize=shares*Ep;
> > > > >
> > > > > Total profits on winning trades(13) = 44,366
> > > > > Total losses on losing trades(18) = 15,322
> > > > >
> > > > > >From the statistics printout my Avg Win/Avg Loss = 3.86
> > > > > So Avg Win X Pct. Win - Avg. Loss X Pct. Loss = 1.04
> > > > >
> > > > > Yet it seems when I try to eliminate the position sizing
> effect to
> > >
> > > > > get down to a per share basis, it seems to give me a negative
> > > > > expectancy. It just seems like I should setup my probability
> > > matrix
> > > > > and leave my gains & losses as is.
> > > > >
> > > > > Any more thoughts on this?
> > > > >
> > > > > Rob
> > > > >
> > > > >
> > > > >
> > > > > --- In amibroker@xxxx, "Silvarius" <silvarius@xxxx> wrote:
> > > > > > Hello Rob,
> > > > > >
> > > > > > The method to divide your results by the number of shares
> is the
> > >
> > > > > right one
> > > > > > only if you test a system on a single security. If you test
> it
> > > on
> > > > > multiple
> > > > > > securities, you must make it on a basis that is commun to
> every
> > > > > securities
> > > > > > (money, percentage, indices etc ...).
> > > > > >
> > > > > > Best regards, Jerome ULRICH
> > > > > > -----Message d'origine-----
> > > > > > De : bowbie89 [mailto:robm@x...]
> > > > > > Envoye : vendredi 21 juin 2002 05:15
> > > > > > A : amibroker@xxxx
> > > > > > Objet : [amibroker] Tharp's Expectancy Calculation
> > > > > >
> > > > > >
> > > > > > Hello All,
> > > > > >
> > > > > > I was wondering if someone could help me out. I'm having
> > > trouble
> > > > > > calculating expectancy based upon Tharp's book. I know
> > > > > > I can calculate the expectancy from the statistic report
> > > using avg
> > > > >
> > > > > > win/avg loss but I wanted to follow Tharp's procedure.
> > > > > > I just did a simple backtest on Microsoft and was trying
> to
> > > figure
> > > > >
> > > > > > out the expectancy based upon Tharp's "Trade Your
> > > > > > Way To Financial Freedom" book. On page 158, his second
> step
> > > is
> > > > > to
> > > > > > eliminate the effect of position sizing by only
> > > > > > considering single units or 100 share blocks. I think
> this is
> > >
> > > > > where
> > > > > > I'm having my problems. Am I supposed to divide my
> > > > > > gains and losses by the number of shares and then times
> it by
> > > > > 100? I
> > > > > > did this but it just doesn't seem right. I wanted to
> > > > > > attach my excel file but I don't think I have the rights
> to
> > > > > upload it
> > > > > > or I'm not seeing how to do it.
> > > > > >
> > > > > > Thanks for any help,
> > > > > >
> > > > > > Rob
> > > > > >
> > > > > >
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