poker player tries his hand at futures trading

Discussion in 'Journals' started by fletch2, Dec 6, 2005.

  1. KS96

    KS96

    I am doing something similar in trading...
     
    #121     Sep 15, 2006

  2. Sorry you don't get it. Dickhead.
     
    #122     Sep 15, 2006
  3. Glad to see my assessment was correct. Human emotional reactions are so predictable.

    -Raystonn
     
    #123     Sep 16, 2006

  4. As are your arrogant, snide little remarks - and it all started over something you obviously don't comprehend.

    The shallow ones, like you? They never actually contribute, they just sit there making little self-gratifying potshots but never offer any substantive debate.

    E-mail and the Web - "... empowering socially deficient people everywhere."
     
    #124     Sep 16, 2006
  5. Keep it coming. The forum obviously benefits greatly from your wisdom.

    -Raystonn
     
    #125     Sep 17, 2006
  6. fletch2

    fletch2

    Quick update:

    Had a rough go of it recently. I had a brutal 7 day losing streak, matching the worst run from a 3 year backtest. Things have turned up from there, and I stand at $1180 profit after 27 trades.

    My backtest EV is $69 per trade per contract (accounting for commission and slippage), so in a perfect world, I'd be up $1863 (as I am trading one contract until I make at least $10k).

    By Monte Carlo I can say the following about where I should be after 50 trades based on perfect system performance vs. where I should be based on a zero EV system with the same variance:

    breakeven: 50%, 86%
    +$1000: 36%, 78%
    +$2000: 26%, 69%
    +$3000: 18%, 58%
    +$4000: 11%, 46%
    +$5000: 7%, 35%

    i.e., if my system is garbage with no edge, I would be up $2k or better 26% of the time after 50 trades. If my system were to perform perfectly, I would be up $2k or more 69% of the time.

    It would take a full 450 trades (about two years) before any returns which were consistent (to 90% probability) with the perfect system performance would also *not* be consistent with the zero EV returns. Sobering.

    At the latest I'll check back after 50 trades are in.

    Fletch
     
    #126     Oct 2, 2006