If you do a lot of backtesting with Kelly as your position-sizing (or optimal f, I would assume) you will probably see your system go through at...
Can f ever be larger than Kelly? The reason I ask is because that's the answer I got from an online optimal f calculator. I realize you're not...
Didn't see this paper referenced anywhere in the thread. Seems like the failure rate for traders has been overstated, although I do find the...
The measure is clearly a proxy for something, even if it doesn't meet the strict definition you are putting forth as a requirement. Say what you...
You're not testing each individual trade, you're testing the set of trades, presumably only if they show a positive average outcome. If they have...
Are you assuming you'd buy (or sell, if the trade is a short) on the open and close the trade on the close? I'm actually interested in running...
First of all, no one would apply a statistical test to a trading method after 5 trades. Secondly, let's say you've reached a point where you...
So what if the system metric is impacted by stops and not solely entries? Risk management can be a "value-add" to a trading system and, if part of...
Do you have anything to say other than personal accusations? I'm still eagerly awaiting the explanation of why my small, yet non-zero probability...
No, I pointed out how absurd bill's idea was with an equally absurd idea.
So, wait, Bill's idea, which was basically just the 180-degree opposite of my idea, and equally as likely (remember all that talk about "small,...
I thought I had made it pretty clear that this is NOT "the Van Tharp metric", it's a standard metric used in statistics for over a century. So, if...
Here is what the OP originally stated: "I would like to determine the probability of my success being due to chance alone (and thus not my...
Don't leave on my account. Clearly others value your input and there is no reason for you and I to interact in the future. It would have been...
Then I'm glad I don't use his methods. Whew, that was a close one. Look, I didn't think the OP, who said he didn't have a lot of stats...
I've seen your posts with the stats for your systems. There is no help I could get from you other than help stating the null hypothesis. You've...
OK, then, the probability that you win every trade of over 100 trades in a random experiment is the same probability that Gisele will leave Tom...
I was online looking for system metrics and found it, not in one of his books, although I'm sure it's in one of them.
If you put me on ignore, that will only improve my experience here, I'm sure. Yes, it's possible that someone wins every trade with a random...
The easiest way to do it in Excel is to put the % gains and loss on each trade into a column and use the "average" and "stdev" functions on that...
Separate names with a comma.