ym.. its a dead end... I have tried reverse martingale...I have done string studies ad nauseum...I have tried it all... I got all the books from Sweeney... Jones...Tharp...and others... I think if you could track your losers and try to identify a rank....and your winners too...then you might be on the right track... now this will not improve much...just a small percent...as you must increase you P/L ratio...and big adjustments just will not work... and please do not overoptimize or go down that road...your system needs to remain loose, like the old NASCAR driver...Cale Yaroborough's suspension.
My hypothesis would be, merely a positive expectancy alone surely doesn't mean a real Edge at all. "If there is a quantitative measure for Edge, what is it?" http://www.elitetrader.com/vb/showthread.php?s=&threadid=70673&highlight=edge
Electric, That's kinda my conclusion also. I'm a probability guy, got my BSEE & an MBA...always been involved w/ #'s. I believe that if, over time, backwards and forward testing show a system to have a postive expectancy based on probabilities and statistics, then that's what you go with. I KNOW my system works, but I also know myself, and I am weak when it comes to being disciplined....at anything I"m afraid! That is my bane in this existence, and what I must overcome to be as successful a trader as I know I can become.
You can't do decent MCS in excel unless you get an add-in with its own random number generator because the one in excel sucks. This is a huge topic and way beyond what can be answered in one post... it could easily be a never ending thread by itself. I recommend you start by searching ET and then test what you learn in any of the innumerable MCS programs you can find by googling. No substitute for digging in and getting your hands dirty. I'd start by exploring the impact that different position sizing algorithms have on return and DD. I realize that everyone on ET is a better trader than PTJ, but he shoots for an annual return/DD ratio of 3.
Try trading with less capital..or build your grub-stake... start with a microscopic use of capital...work your way up and remain conservative...find your comfort zone... Your a bodybuilder sculpting your body.... Michael B.
I like these quotes : "The way to be right is to cease being wrong." "Some people are into intuition and some people are into-wishin."
ym, I got my own problems just now with my system... http://www.elitetrader.com/vb/showthread.php?s=&postid=1107995#post1107995
It could be a probable a personality flaw. (psychological damage from childhood) 1. Fear of Success 2. Lack of Faith
I would tend to agree with most of electric's comments. Since losers are quite large relative to winners, its a good start to try and minimize them. Now i understand that an effort to reduce the average loser by tightening stops will adversely effect the win/loss ratio, but there is no easy way around that unless OP is willing to perhaps rank the losers as suggested and try to filter out the worse entries. Whether OP's "edge" is small or big is open for debate, but i'd focus on its sustainability before anything else. As soon as the system stops working, will you know fast enough to prevent a big blow? Not putting down op's system but i am dubious at best.