PF can already be used, as is, in "the domain of non-constant position sizes" as long as it's calculated correctly. PF will change for the same system with and without position sizing but given what it measures (how many $ your system has made for each $ lost) , it should. Faith's argument for normalizing it is to remove "the skew of recent history dominating the test." But I think it's a bell/whistle to help him sell Veritrader and personally prefer the original PF, in conjunction with other metrics.
Well I have a PhD in math, so your comment rings a little hollow. Perhaps you are using different definitions for your words. And getting upset about something like this is something you should have grown out of about the timeframes you mention. Fletch
Actually as Raystonn and Fletch2 have both already made mention (and other experienced traders have discoverd for themselves) the key to increasing your profit factor is not tweaking/massaging your entry/exit signals, but rather by using non-constant position sizing. You might think they are BSing, but they are actually doing the readers a service by even bringing the concept to their attention. Best Regards, JJ
No, but I've got an air compressor, if you want to give me your BMW, I can keep your tires full pressure, and we'll share it 50/50. Deal? Fletch
The following is for automated trading (on ET, of course): I don't have a mechanical system of PF 8.0+ Yet. But I do know a way how to multiply the total profits by 20 times and at the same time to reduce DD by 90% for all systems with PF 8.0+. (Please don't ask me how I can carry out the above testing and development for conclusions.) My secret is a secret. Therefore I need you to trust me and send me your systems so that both you and I can share our secrets, based on the condition that although I won't send you mine, sorry. Thank you for listening.
Honestly, I don't know what Trader666 is getting into a huff about. It's pretty simple math. If he chooses to believe any number I give is untrue, so be it. I'm not here to sell my systems. Let him believe what he wants. However, I would recommend he examine the reasons for his hostile behavior. He may discover something about himself that could help him in his journey to profitability. -Raystonn
ROTFLMAO! Maybe you should examine why you need to post bogus numbers to message boards on the internet.
I agree 100%, as the best position sizing method is knowing in advance betting 0% on all losing trades/ signals and keeping 100% on all winning ones. Holy Grail!