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Flag martingale systems Discussion

stephanusR (stephanusR)
Jun 04 2010 at 21:23
216 posts
Some of the systems shows impressive gains, but took excessive risks using a martingale strategy. Using a python script and some Sql one would be able to analyze the trades to uncover such martingale trades or excessive averaging down. Would myfxbook be able to implement some sort of graph to show risk/increase in account ratio to quantify the risk exposure?

Staff (Staff)
Jun 07 2010 at 08:28
1390 posts
Stephanus, it's definitely possible and will be created.

Thanks for the suggestion!

stevetrade (stevetrade)
Jun 07 2010 at 09:11
1408 posts
Risk exposure would be good.

11:15, restate my assumptions: 1. Mathematics is the language of nature. 2. Everything around us can be represented and understood through numbers. 3. If you graph these numbers, patterns emerge. Therefore: There are patterns everywhere in nature.
stephanusR (stephanusR)
Jun 08 2010 at 20:17
216 posts
Another idea is to factor in the time it took until a security rallied. It becomes very difficult to distinguish between trading insight and random market movements as time moves on. If the majority of the trades rallies within a 10min period it would indicate trading insight.

Thus I propose a trading evaluation parameter: Time till rally.... How long did it take for a trade to rally. It could also be combined with some form of individual draw-down per trade.

60% of the time we have a counter trend, 30% a trend and 10% a break-out. The euro was in a massive consistent down-trend for months now, if all you had done was to go short every single trade would eventually have been a winner. Problem comes with a counter trend. Thus we should also flag accounts that shows huge equity gains if all they did was trade in the direction of the trend. Trends don't last, being able to trade the 60% counter trend is where the real trading skill is demonstrated.

Chris
Krysztau
Jun 09 2010 at 12:19
68 posts
Well, what would you call martingale here...
I mean doubling positions for times in a row everytime looser appeare is quite clear.
What if someone happend to put bigger trade as his estimation of chances rised in second trade?

What with softer form of martingale, where one put 1.2 size of loosing trade?

what if you open one position with big SL in a morning and then scalp all morning with bigger position size?


I'm absolutely for flagging, just wanted to post some concerns.

This may be good if flagged user may mark that he does not agree with this judge, so he can explain in his own description...

stephanusR (stephanusR)
Jun 10 2010 at 07:51
216 posts
Krysztau posted:
    Well, what would you call martingale here...
I mean doubling positions for times in a row everytime looser appeare is quite clear.
What if someone happend to put bigger trade as his estimation of chances rised in second trade?

What with softer form of martingale, where one put 1.2 size of loosing trade?

what if you open one position with big SL in a morning and then scalp all morning with bigger position size?


I'm absolutely for flagging, just wanted to post some concerns.

This may be good if flagged user may mark that he does not agree with this judge, so he can explain in his own description...


You have a point, we should decide via voting with staff on what algorithm to use. If you martingale but keep your trades open for only 5min the risk could be less than leaving it open for 4hours. Excessive averaging down should also be flagged. Most important the draw-down per trade in pips and % terms must be displayed like they do on collective2.

Another issue is opening a cluster of 10 trades within 5min, it actually skews the win/loss ratio, there are lots of nuances to this whole business.

Chris
Krysztau
Jun 10 2010 at 11:49
68 posts
There is also other thing like not puting SL, some traders show no drowndown, but their positions between open and close [for 10 pips let's say] plunge 200 pips below zero, what makes them in my opinion useless...

pc8multifx (pc8multifx)
Jun 10 2010 at 12:57
879 posts
Ohhh come on, discrimination of a certain trading approach? OK than lets flag out scalpers , grid and swing trade systems as well, bc they can blow out accounts too....

duzyfx
Jun 10 2010 at 18:50
257 posts
it's not discrimination ... people can look at the equity curve and figure out a martingale since martingale only looses once ... anyways it's a good parameter to see if someone is using averaging down or martingale all the time or sometimes ...

duzyfx
Jun 10 2010 at 18:52
257 posts
averaging down + martingale is easy to check ... simply a bunch of trades closes at the same time (same minute or in between minute change ... eg: 5 trades closed at 15:01 and 5 trades closed t 15:02)

also martingale trades will have the multiplier of 2x and each higher positions will be initiated at the lower price ... similar with averaging down since averaging can be treated as martingale with a smaller multiplier or simply same position sizing

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