Back to Expectancy
I noticed that this VERY IMPORTANT thread seems to have become dormant.
Here is my ten pence worth.
I have been trading using MTP software since Nov 2007.
I have had good and bad days but overall my expectancy is .315 on a database of 450 trades. My actual database is over 1100 but the other 600 were paper so I don't included those.
Win loss rate is 45% with 6% of trades being scratched ( cover commission trades).
I have tried everything I can think of to up the hit rate but have failed miserably.
I take nearly all the signals the software gives me and I DO NOT use the filters. I do reject trades < 1.4R to first target and I am currently testing my own filter with only limited success ( although it is saving me about 5R per week which is great).
This means I can and do regularly get 5-8 (max) failures in a row. This is very hard.
Pos size for me is 1% risk capital - I couldn't conceive of going to 2% so Eddo et al must have larger cojones than me :-)
Errors I have made - every single one you can think of.
Primarily I get out of trades too early. I am getting better but find that if I leave the trade alone 9/10 it is better than my "analysis" of the situation. I put this down to the fact that the market is made up of thousands of humans like me who are all far too emotional and far too attached to their money.
If I view the money as "spent" it helps. I buy wine and food and cars and stuff so why not spend some money to make some? Works for me anyhow.
My Van Tharp Std Error is .152 which just scrapes me into the ok category and I am right proud of that! Std Deviation is 1.77 ( not so great ) but really that's the way this strategy works.
Largest trade was 12R - there was a 45R (genuinely I have the pic of the trade!) 3 weeks in but needless to say I got out at 5R and felt very pleased for all of 10 minutes.
Anything above 5.5R is quite rare IMHO. However if you start to take profits that odd trade at 8 - 12 R will be missed and you ruin your figures.
It is VERY hard to stay with a 10R trade - it's actually harder than losing 1R strangely - but that's a personal issue with me I think.
If I ever get another 45R trade I will let everybody know but my guess is they don't come around that often!
Major difficulty (for me) is execution. I trade 5 instruments (all highly correlated) and invariably 2-4 of them kick off on the same bar. I miss the odd trade every now and again simply thru being unable to hit buttons fast enough. Now If I could automate my entry ......( are you listening Steve? Really just a TS function that goes 1 or -1 nothing more, please??).
Also , as I get up to size actually getting the trade on and off will mean slippage becomes more and more of an issue. I am not there yet but I am planning on something to help with that.
I have found a partial solution to automation but it's not quite there yet.
Long winded post but I hope there are some useful bits in for people.
Oh, final thing - keep a spreadsheet of all the trades you do - it's amazing the stuff you can get out of it and as you get more advanced you have a ready made database of trades on which to test ideas/stops, etc.
I found a statistical exit that I use all the time just from doing that.
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