Unbalanced runs of win / loses for high profitable and risky system

Discussion in 'Strategy Building' started by Spec_pt, May 19, 2005.

  1. Spec_pt


    Hi all,

    I think it's fair to say that whoever achieves something around 30/40% per year, consistently over several years can be already considered a very good trader.

    This "restriction" of 30/40% makes difficult for small accounts to grow, having to wait very long years, if the person is able to prove that is a good trader. If not, then many years were wasted and things need to be restarted.

    A big account must worry about drawdown - imagine what would be to lose 70% of a 500.000$ account. A small account in the begging may accept a reasonable risk of ruin and drawdown, if on the other side is something that can be quite profitable.

    What I was looking for is something, preferably mechanical, that could have an high profitability, despite would not be suited for a big account due to terrible drawdowns.

    Please note that I'm not looking for something miraculous, neither into something like all in red or black of a roulette. Not even a out of money option.

    I want to create a system that could generate a reasonable number of signals in different markets (stocks, index, forex) - 15 / 20 a month - which with a risky money management could generate a good reward.

    There are systems with zero or very low expectation that, in the very short term generate unbalanced runs of wins and loses, which can be taken for my (very risky) idea to generate high profits or kill teh account (not properly to kill teh account but a part of it because I intend to divid it and test several ideas).

    What I wanted from people that did already a lot of backtesting is their opinion of which kind of systems could I find more of these unbalanced runs of wins / loses - tendency, oscillators, volatility, or any other stuff.

    Any ideas will be welcome and, again, please note that I'm not looking into something to get rich overnight in markets - that doesn't exist, neither shortcutting hard work which I'm willing to do.
    I just want something to make a good growth of an account in the beginning, paying the price of a big risk and trusting also a bit in luck. All done rationally and not just betting everything in a throw of a coin

    Thanks for any help you may provide

  2. maxpi


    I'm thinking that if you look at the statistics regarding systems and the statistics and Kelly Math regarding the use of large amounts of margin that what you are describing is what most traders are doing.