Just because I like to make excel shits That's your Strategy. Win 50% of the time. Make 1.5 Reward, Risk 1% Daily should compound @ 0.24% Yearly should multiply by 1.84x The simulation returned 0.22% per day over 9,999 days. The minimum Trailing Twelve Months is 1.02x and the maximum is 3.47x The maximum drawdown is about 0.74 or - 26% from ATH You spend about 80% of the time below each ATH
@Sekiyo, can one say this is a realistic strategy? Even a safe/conservative strategy? After all it makes more than 80% p.a.
Sounds realistic to me. Could be safe if costs are included. Worst year should be around break even. I wouldn’t call it conservative 84% per year in avg. If you have this kind of edge then go for it !
I just evaluated the possibilities by taking some such "conservative" rates that seem realistic & achievable. Ie. LHF (harvesting low hanging fruit )
It's unclear to me why you use 1.5 and 0.99 in your above formulas. And then get 0.242% per day, and 83.97% per year. Why 0.99? And what about the loss of -1%. It's not counted in your calculation. The scenario clearly gives 6.5316% per month (ie. per 21 trade days). This then translates to: (pow(1 + 6.5316 / 100, 1 / 21) - 1) * 100 = 0.301747% per trade day, and (pow(1 + 6.5316 / 100, 12) - 1) * 100 = 113.67% per year.
Your scenario is right. If your implied probability of winning is 52% (11/21) Which is not even (50% or half the time). That's why you get better results. Your daily expectancy is (1+1.5%) ^ 0.5238 * (1-1%) ^ 0.4761 Which is about what you get (1.003018) We're not implying the same %Win rate. It's either ~52% (You) or 50% (Me) I used 1.015 and 0.99 because you said You win the first day -> 1 + 1.5% is 1.015 You lose thereafter -> 1 - 1% is 0.99 Your cumulative PnL is 1.015 * 0.99 -> 1.00485 Since you've traded 2 days then the daily average is 1.00485 ^ (1/2) That's it ^^