Consistency: the Measure of Success

Discussion in 'Trading' started by Raystonn, Aug 30, 2006.

  1. You can look at all these tests you like, the reality in market is anyone who has what you are looking for may not be interested in your money. He would have closed his funds to outsiders long time before he or she meets your criteria. That is the market reality.
    In real life big investors are willing to risk money based on many other factors besides your esoteric tests.
     
    #11     Aug 31, 2006
  2. Again, we have to remove the subjective aspects of your measurements. How do you define "sharp"? What's the slope? What's the base? What is sharp for one person is smooth for another.

    The intermediate volatility must also be compared to the long-term overall gains. I'd much rather have a portfolio that gains 500% yearly with 30-50% drawdowns than something that barely eeks out 20% a year in order to get less than 5% pullsbacks so that some little old lady doesn't have a heart-attack.

    Sounds like selective-enforcement with cops. Using a myriad of subjective measurements, you can select any given one to pick apart anyone's performance as inadequate.

    I like Joab's measurement, if you've been able to live off your trading for 10-years, you're "good"... :)
     
    #12     Aug 31, 2006
  3. You are trying to apply system traders measures and whats more they are those developed for funds. You are getting objections from people who are willing to assume risk in return for profit. So you're out of step.

    Lets see if this gets through. I will retime my previous post and maybe it will make sense to you.

    "OK.

    I have a choice of being a trader who:
    - makes $1500 avg per quarter consistently (max 1750, min 1250); or
    - makes $100,000 avg per quarter inconsistently (max 200,000, min -100,000)

    I'm going to have the guts to assume the risk and be the second trader. Its one thing to look at the stats that are appropriate to a fund where half of the "investors" are nervous nellys ... but for freaks sake - are we traders or nellys?"


    If that still doesn't make sense (risk accepting trader vs risk adverse fund customers) then try annually

    50,000 consistent annual (max 60,000, min 50,000) vs

    500,000 inconsistent (max 1,000,000 min -500,000)

    I pick the second in each case. Assume the risk. Live the adventure. Don't be a fund pussy :)
     
    #13     Aug 31, 2006
  4. Again, the systems you labelled as being inconsistent are in fact fairly consistent. An inconsistent system will be a bit like winning the lottery during one time period and losing everything the next. It looks completely random when you move beyond the curve-fit time period.

    -Raystonn
     
    #14     Aug 31, 2006
  5. By the way, this thread really has nothing to do with mutual or hedge funds. Someone else brought up that subject.

    -Raystonn
     
    #15     Aug 31, 2006
  6. Bingo!

    most guys raking it in HIDE from public attention. If they run a hedge fund or crave attention, then they start yakking.

    BTW, many people in the trading contests have several accts in the contest. They go for it huge so that one of them will put up stellar returns for recruiting cash. The other accts all crash and burn. Larry Willliams, BTW, made 10,000% in Robbins back in the late 80's, but his main income is teaching. Go figure. Those that can really make it do not run chat sites, sell systems, or boast.
     
    #16     Aug 31, 2006
  7. For crying out loud. Read your own first post. You said:

    "When evaluating the best trader, Net Profit is not the best measurement. A much better measurement would be the smoothness and slope of his/her equity curve, the maximum peak-to-peak drawdown, and the consistency of his/her placing well in the competition."

    My first trader is better from the perspective of your definition. My second trader is just better despite a lack of a smooth equity curve and lack of relative consistency.
     
    #17     Aug 31, 2006
  8. Why do you say the first is better? The first and second may in fact be identical strategies with different levels of margin. The maximum peak-to-peak drawdown defines your maximum safe margin level. The better your margin, the better your return and the higher your drawdown. Just keep it under 100% in all Monte Carlo simulations and you stand a good chance of avoiding a blowout.

    -Raystonn
     
    #18     Sep 1, 2006
  9. I think Rayston makes good points.

    Here's what Kiwi Trader said:

    "If that still doesn't make sense (risk accepting trader vs risk adverse fund customers) then try annually

    50,000 consistent annual (max 60,000, min 50,000) vs

    500,000 inconsistent (max 1,000,000 min -500,000)

    I pick the second in each case. Assume the risk. Live the adventure. Don't be a fund pussy"

    These are both consistent, as defined. The question Rayston asks is how do we reduce the probability of account extinction? Kiwi Trader merely says "Yes we might die". Both of these view points are valid.

    Poll: which of Kiwi or Raytson do you think is most likely to survive for the longest and why?

    The 2nd of Kiwi's options has a reasonable chance of non-existance in the first few years (do the probabilities for 15 minutes).
     
    #19     Sep 1, 2006
  10. Poll: which of Kiwi or Raytson do you think is most likely to survive for the longest and why?

    LMAO ... the real answer to that question lies in the real question. Who is messing with systems trading/fund management style numbers and who is a real trader?

    Most of the detractors to this thread are people I believe to be real traders (Grob, me, Cheese, easyguru, Jayford). Are you two real traders or beginners playing with money management theory and tools like montecarlo (I went through that phase a few years back and I'm still here)?

    I think Raystonn might be but ... lol ... are you trading for a living or just playing still?

    He says "Just keep it under 100% in all Monte Carlo simulations and you stand a good chance of avoiding a blowout." I say, trade well and you will 100% not have a blowout. :)
     
    #20     Sep 1, 2006