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[amibroker] (OT) Re: AmiBroker Support



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You know, Fred, I think you're right.  My example has major flaws 
that I didn't recognize and your example addresses them 
appropriately.  Sorry, and thanks for taking the time and effort.:)


Luck,

Sebastian  



--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
> One can "look at it" any way one wants.
> 
> Over a short period of time almost statistics are meaningless ...
> 
> Let's look at a trader who over a longer period of time has a 75/25 
> win/loss ratio and starts w/$1000.  Let's assume he has 3 winning 
> trades of 10% each followed by a losing trade of 10% and then the 
> cycle repeats.
> 
> After 100 trades he has $117,391 w/the average win being 2446.55 
> (10%) average loss being 2682.53 (10%) ...
> 
> You prefer an expectancy calc of:
> 
> 0.75 * 2446.55 - 0.25 * 2682.53 = 1163.90 i.e. < 1% of his equity
> 
> or:
> 
> 0.75 * 10 - 0.25 * 10 = 5% i.e. ~ $5869
> 
> If we take the same example over 500 trades then we have an 
> expectancy that's around 0.1% using $ to the same 5% using %.
> 
> The longer the example, the more out of whack this gets ...
> 
> 
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia" 
> <sebastiandanconia@xxxx> wrote:
> > Is it?  I'm not sure.
> > 
> > Example:
> > 
> > A trader has a system with a 50/50 win/loss ratio.  Starting with 
> > $10,000, he has three losing trades in a row with each costing 
him 
> > 10% of his existing equity.  Three losses, each 10%, $1,000, 
$900, 
> > $810.  Average loss -10%, or (1000+900+810)/3 = $903.33.
> > 
> > From his current equity of $7290, he has three winning trades 
that 
> > bring him back even to $10,000 (it's $9999.87, to be precise).  
> Each 
> > trade is a win of 11.111% of his existing equity, 
> > (809.99+899.99+999.90)/3 = $903.29.
> > 
> > Using an expectancy formula calculated with percentage profit of 
> > winning and losing trades would lead him to believe he had an 
edge 
> of 
> > 1.111%, but he obviously doesn't since the average dollar amount 
of 
> > his wins and losses are virtually the same.
> > 
> > Or if he took a larger hit of 30% on his first trade, bringing 
his 
> > equity down from $10,000 to $7,000 and then had a big win of 
42.85% 
> > bringing him back even, he'd think he had a REALLY big edge when 
in 
> > reality the dollar amount of both trades were the same.
> > 
> > Or am I looking at this the wrong way?  I'm not exactly a 
> bookie.:)  
> > 
> > 
> > Luck,
> > 
> > Sebastian
> > 
> > 
> > 
> > 
> > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
> > > Using $ as opposed to % in formulas like this is really only 
good 
> > for 
> > > the futures traders who tend to trade the same number of 
> contracts 
> > or 
> > > dollar amounts for awhile ...
> > > 
> > > --- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia" 
> > > <sebastiandanconia@xxxx> wrote:
> > > > Sorry, I had to edit my first reply.  Let's try this again.:)
> > > > 
> > > > In your expectancy formula, are you calculating Avg Profit 
and 
> Avg
> > > > Loss as % (as it appears in your formula)? Because expectancy
> > > > formulas quote the profits and losses in dollar amounts, like 
> > this:
> > > > 
> > > > (%Wins x Avg Profit $) - (%Losses x Avg Loss $)
> > > > 
> > > > Could this account for the difference of opinion that you and 
> > Tomasz
> > > > have? Expectancy tells you what dollar amount you can expect 
to 
> > win
> > > > or lose per dollar amount risked.  However, the dollar amount 
> > > risked 
> > > > doesn't vary with leverage.  Buying $10,000 worth of a mutual 
> > fund 
> > 
> > 
> > 
> > > in 
> > > > a cash account puts $10,000 at risk, but so does buying 
$10,000 
> > of 
> > > > that fund on margin with $5,000, it's just that you're 
> borrowing 
> > > the 
> > > > other $5K.  Same thing when buying $10,000 worth of a mutual 
> fund 
> > > > that uses 2X leverage, still the same $10K at risk.  The 
amount 
> > of 
> > > > money risked is always the same, so the expectancy has to be 
> the 
> > > > same. 
> > > > 
> > > > 
> > > > Luck,
> > > > 
> > > > Sebastian
> > > > 
> > > > 
> > > >




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