wining trades and losing trades in streak

Discussion in 'Strategy Development' started by flyingforget, Jun 4, 2008.

  1. I find the wining trades or losing trades occured in streak

    If the last trade is wining ,then the probability of next trade to

    win is high.usually the wining trades or losing trades cluster

    together.they are not indepent on each other .on the contrary,

    they have much correaltion .

    does anyone have the same opinion?

    am I right ,if I am wrong plz correct me
  2. ehsmama


    Think of it this way -
    If what you say is happening with a system - It means that systems trades a basket of markets that are Highly Corelated.
  3. vikana

    vikana Moderator

    If you have system where wins and losses run in streaks, you should consider yourself lucky. It's the ideal setup for improving things with position sizing.
  4. I am looking for new methods to improve the strategy performance through position sizing

    vikana ,could you give me some suggestion?

    any good book or articles on this topic?

    thank you much
  5. Cheese


    If you are micro trading the day, open to close, then can this include washes or small losses? Yes. There should never be many. But if you are buying upmoves and selling downmoves (eg CL,YM,ES) sequentially you may turn around in a shallow retracement at a wash or small loss.

    Remember for successful play you should use liquid futures markets, assuming you are daytrading, and you should only be tying together in a row sequences of profitable trades. An accurate methodology is a requirement.
  6. Bo_D_


    i trade EOD mean reversion systems. alot of the time my winners and losers are in clusters, this is mainly due to whether the market rebounds or not.

    e.g. the market falls so start getting heaps of signals... so if the market keeps falling ill get all losers, or if it jumps back i get a stack of winners.

    thats what i find with my systems, in a nutshell.
  7. did anyone read the articl of profiting from the z-score in the stocks&commodities magazine?

    It is interesting

    I am looking for existing formula of z-score and money management for tradestation

    but did not find any one until now