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What's the best way to trade Martingale Forex Trading

Furax
Nov 29 2014 at 17:23
posts 92
I created sevral martingale systems but the best are an EA based on indicators.

https://www.myfxbook.com/strategies/ultimate-tendancy-v100/73992




Fichiers joints:


On entend l'arbre qui tombe mais pas la forêt qui pousse...
ibthescottyb
Nov 30 2014 at 07:30
posts 407
RSTrading posted:
@ibthescottyb

It will be an outstanding performance of the EA if you can get the same results with 99% quality backtests. Believe me.. there is a huge difference. I did backtests on my EA that were of 90% modeling qualilty and I was very impressed. Then I went trough the whole process (yes it is not as easy) and did a 99% modeling quality backtest. I am still impressed, but I had to do a whole lot of changes to get what I wanted. There was a huge difference between 90% and 99%. Yours is showing n/a and 164 mismatched charts.


Agreed. I just threw up a back test I did without taking the time to set up a 90% quality test. But, understand that I do not wish to hijack this thread with my strategy, only to show what a martingale is capable of.

Vetrivel (vetrivel1980)
Nov 30 2014 at 09:51
posts 10
ShahLegno (Shahlegno)
Nov 30 2014 at 13:08
posts 31
Very good Martingale (y)

Swing with professional passion.
Jeff719
Nov 30 2014 at 13:09
posts 2
Martingal is an interesting topic.

In fact, it depend on your goal : managing your money or selling a system (software, signal, pamm... whatever).

About your money, the mathematic expectancy is negative. Thousands of mathematicians demonstrate it again and again during sciecles. So arguing if recovery system is a good idea or not is wasting time.

On the other hand, martingale strategy could be strongh or lite. It may clean balance curve a leatle and provide a better win ratio percent. Of course mathematic expectancy is lower but nobody can see it. As the competition between systems is strong, and the customers are not... well informed ? it's a necessity to plug these improvment to a valuable strategy. What a pity. But world is like that.

Roughly, there are 3 ways to add martingale methods in a strategy :
- Dont take the losses and prey. Keep on trading and claiming how hedging is valuable. It works most of time because of retracements events.
- Increase the size of the bets after a loss. And continue it until the first win (or several wins) compensate the losses.
- Average down prices (or up), with a grid system. This methode average the open price, plus realise more or less the two previous methods.

All theses methods can be more or less hidden with partial application (smouthed size increase, lower lots with grids, taking partial losses after partial retracement during recovering process...).

All theses method lose money on a long term point of view. But it may work (if well parameted) during months, years...

In fact, the martingale approch is everywhere in the world and in the life.

- Martingale is like a mortgage you obtain from destiny. You just dont know when it's time to pay.
- You can go too fast in a moto race. If you dont crash, you win the race. If you do it every moto, again and again, a day you will crash.
- You may not pay your car insurance. So you earn prime money every year. Until the crash come.
- Most of hedge fund apply this kind of approch during early 2k : taking incredibly high risk in front of rare events. As events are rare, nothing appends. Managers take their big fees years after years, then the founds crashed with investor money.

In fact, martingales and partial martingales are everywhere. It's a good way to share benefits with investors and let them tacking all the losses when the crash come. Most of hedge fund managers are millionaires. When they losed billions from institutionals investors nobody go to jail.

Personaly I dont use martingale because of this ethic issue.

On the other hand, many had notice the anti martingale affect of the proportional money managment. Proportional mean that the more equity you have, the more lots you invest. If the system is valuable, you can see the exponential equity curve. When doing simulations (bootstrap or montecarlo), you can see that more of 50% of stories (or excursions) are under the mean. It's because few lucky excursions go to the sky and few unlucky DD go to zero. So if you are in the mean luck/unluck you notice that increasing lots size within balance increase take you off a few money. It's because of the anti martingale affect of proportional money managment. If the system is very powerfull (20% and more per year) the effect is noticeable. It is why Kelly formula exist in finance lots size calculation. There is a limit (if yield is very high) where anti martingale become stronger that mathematic expectancy of a bet.

It's the only reason why I could add an epsilon touch of martingale during lots size calculation.




A apologise for my poor english.

Jeff.

 


 
    

Bob LLewellyn (ForexAssistant)
Nov 30 2014 at 15:01
posts 465
'About your money, the mathematic expectancy is negative. Thousands of mathematicians demonstrate it again and again during sciecles.'.

Jeff; I am a mathematician, well, that is what I got my degree in - Operations Research.
Before we can discuss profitability, we first need to establish the working paramiters. If we are talking about a fifty/fifty probability such as in the fair coin toss, then a martingale sequence is the same probability of outcome as the coin toss because the probability of failure diminishes with the greater number of iterations by the same factor as the growth of the bet size.

However, if the win ratio is 90%, then doubling your bet size is less than the diminishing probability of failure. Without establishing the paramiters first, expressions like 'mathematic expectancy is negative' I'm afraid hasn't any discernible meaning.

Bob

where research touches lives.
Cholipop
Dec 01 2014 at 03:23
posts 406
Martingale is only money management. If you have a system which doesn't experience more then 4 losses in a row, then Martingale would work excellent with such system. Most people consider martingale a 'coin toss' form of trading, when the reality is trading support and resistance is the biggest coin toss of them all.

vontogr (togr)
Dec 01 2014 at 10:12
posts 4862
ibthescottyb posted:
In the attachment is an example of a system that uses the Martingale on a 5 year back test. I use this myself. I have it limited to 11 iterations starting at .01 and doubling up to 10.24 micro lots using the broker above.

During the 5 years, it only used the 10.24 lot size on 4 occasions and recovered each time.





Yes in BT you got 4 times maximum allowed numbers of position.
What would you do it this last resort fail and position close with loss?

Furax
Dec 01 2014 at 10:38
posts 92
The best way to trade with a martingale is to forget all the martingales...




Fichiers joints:


On entend l'arbre qui tombe mais pas la forêt qui pousse...
ibthescottyb
Dec 01 2014 at 13:37
posts 407


Yes in BT you got 4 times maximum allowed numbers of position.
What would you do it this last resort fail and position close with loss?

That's the risk of using a martingale. What if...

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