Krysztau posted:

It's obvious that not a single trader will obtain correlation close to 1.

In my opinion the main use of such statistic is separation scalpers from swings, long terms and 'scamer-scalpers'.


It is up to the evaluator of the system. Myfxbook.com won't implement it though because the site is driven by ads. One would have to have an automation script that automatically downloads all the top 100 CSV files and then run an excel, python script to generate this number. Same problem with collective2.com, they don't present the trading stats in such a way that the true risk: reward ratio is clear. Risk:reward quantifies the long term sustainability of a trading method, its statistical edge.

If we can reduce a jumbled mass of numbers to a single ratio we would make significant strides in enabling investors to make an informed investment decision as opposed to a gambling decision.

Scalping, swing trading methods would now be quantified in the same manner for their statistical edge. In other words if you scalp for 1pip, then your draw-down had better be 1pip or what ever draw down one would find acceptable. Lets presume your win rate is 90%, pip gain is only 5, with a draw down of 10 and SL of 20. If the win rate is 60% but the pip gain is 50 with a draw down of 10 and SL of 20 then a better risk profile is demonstrated. We need to combine stated SL at entry of trade, average TP, draw down and period held to compensate for the 'random luck' element in trading.

A system must state the SL at the entry of the trade or we wind up with a situation of multiple open positions that the trader hopes will eventually close for a profit , incurring large draw downs in the process. Any subsequent gain would then be ascribed to the 'random luck' factor.

Most would agree that it is remarkable how complicated it can be to find a system that generates an engineered return on equity and not a gambled return on equity.