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Flag martingale systems投票結果
Flag martingale systems討論
Jun 04, 2010 at 21:23
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15 Replies
會員從Aug 20, 2009開始
208帖子
Jun 04, 2010 at 21:23
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?
會員從Oct 28, 2009開始
1409帖子
Jun 07, 2010 at 09:11
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.
會員從Aug 20, 2009開始
208帖子
Jun 08, 2010 at 20:17
(已編輯Jun 08, 2010 at 20:21)
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.
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.
forex_trader_8466
會員從Mar 10, 2010開始
67帖子
Jun 09, 2010 at 12:19
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...
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...
會員從Aug 20, 2009開始
208帖子
Jun 10, 2010 at 07:51
(已編輯Jun 10, 2010 at 07:54)
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.
forex_trader_8466
會員從Mar 10, 2010開始
67帖子
Jun 10, 2010 at 11:49
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...
會員從Sep 04, 2009開始
849帖子
Jun 10, 2010 at 12:57
(已編輯Jun 10, 2010 at 12:57)
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....
Jun 10, 2010 at 18:52
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
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
Jun 10, 2010 at 18:56
another idea is to show for each trade the max negative pips and max positive pips since the position was open ... of course since everyone here is using a different broker that would be an estimate since you'd have to choose probably one price feed for simplicity ... (zulutrade shows the max negative and positive while the trade was open)
also maybe some summary index showing a avg max neg vs avg max pos for all positions ... that would show systems that use high SL with tiny TP
also maybe some summary index showing a avg max neg vs avg max pos for all positions ... that would show systems that use high SL with tiny TP
forex_trader_8466
會員從Mar 10, 2010開始
67帖子
Jun 11, 2010 at 14:50
Another issue with martingale is that when you open a trae and then close part in history it appears as bunch of trades.
Let's say you opened 12 lot's @1.0, then closed 4 lots @ 0.9980, and then 8 @1.0020 - it looks like martingale but is a proper money management...
Let's say you opened 12 lot's @1.0, then closed 4 lots @ 0.9980, and then 8 @1.0020 - it looks like martingale but is a proper money management...
會員從Aug 20, 2009開始
208帖子
Jun 11, 2010 at 17:14
(已編輯Jun 11, 2010 at 17:21)
Krysztau posted:
Another issue with martingale is that when you open a trae and then close part in history it appears as bunch of trades.
Let's say you opened 12 lot's @1.0, then closed 4 lots @ 0.9980, and then 8 @1.0020 - it looks like martingale but is a proper money management...
Trades should only be flagged as martingale or excessive averaging down, if a cluster of trades is opened that exceeds 5 , 6 or some arbitrary % of equity. Opening 30 micro lots isn't the same as 30 mini lots within a 5min bar. Thus staff should put the arbitrary % to a vote or allow user input on a webpage to set some arbitrary limit. You as an evaluator of a system should be allowed to set your own arbitrary martingale or averaging down limit, depends on the server load really.
會員從Aug 20, 2009開始
208帖子
Jun 13, 2010 at 20:16
(已編輯Jun 13, 2010 at 20:17)
Another issue would be to flag trades that remain in excessive negative equity for to long a period lets say two days. One needs to differentiate between random market flux and trading insight. If the individual trade draw-downs are to large and period in negative equity is long an arbitrary score should be assigned to a trading system. Collective2.com has a grading index. We should agree on some method of scoring a system. It should not though excessively penalize a system, lets say the system only had a 50% exposure three months ago for one day then the scoring system should "soften" such negative input etc, because traders gains new insight as time moves on.
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