What it takes to develop a profitable trading system?

Discussion in 'Options' started by Aquarians, Dec 28, 2017.

  1. ironchef

    ironchef

    And I used to live within walking distance to the beach in OC, but now a few miles away. I miss the beach too, seems there is something about the sea/ocean that attracts people, so I do understand your feeling.:(

    Take care.
     
    #111     Jan 26, 2018
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    We at least get to see water everyday out of all the windows facing the lake.
    Attached is a picture of our master bedroom window when we wake up in the morning and the cat is sitting in it.
     
    #112     Jan 27, 2018
    comagnum, ironchef and lawrence-lugar like this.
  3. ironchef

    ironchef

    Nice!:thumbsup:
     
    #113     Jan 27, 2018
  4. ironchef

    ironchef

    userque and Simples,

    Here is a first cut:

    Ran a Monte Carlo using Excel circular, calculated outcome vs Kelly, fraction Kelly, etc. I used win rate of 50:50, 0.6 if win and 0.5 if lose. Trade once a day, simulate 200 trading days. This is equivalent to a bracket entry with a 0.6 win and 0.5 lose exit and 50;50 the stock is going up:down. Overall it will produce a positive expectancy with infinite capital and infinite number of trades.

    I could see that the risk of ruin was 100% with all in trades, quite likely with Kelly but much lower with 1/2 Kelly. With 1/10 Kelly, within a reasonable # of runs, risk of ruin was near zero.

    I know it is obvious to you folks but having simulated with Monte Carlo gave me a comfort level that a theoretical calculation could not provide. So, I will trade with <1/4 Kelly size from now on.

    Regards,
     
    #114     Jan 28, 2018
  5. userque

    userque

    Appreciate the update. Nice that you figured out how to make it work!

    There are few things more soothing than a proper simulation.

     
    #115     Jan 29, 2018