The Killing Floor

Hello Sis.yphus,
Nice thread you have start here.

In the above statement from Myfxbook there are times you have 3-5 positions in a minute,
can you explain a little bit about that?
thank you

This is the stacking I am referring to in the Important Notes section. In fast markets I will stack quickly, sometimes it takes me a bit longer. But you basically build the position as you think it will go in your favor and break it down when you think you caught a bad first entry (will be about 1/10 first entries on average, keyword being on average.)

OMG ... take a part form Van Tharp talking about expectancy ...

Hey Sis....I will let you chew on this type of exit (I got 32 of these design to squeeze round the clock within a given threshold)
Making up some numbers to put some ideas across...
Max risk per account (say) 20%
Max open positions (say) 20
Average risk per trade = 1%
Entry setup = any trend following (breakout?) you like...signals should be in the direction of trend.
Pairs=28 pairs( or all pairs for each country currency)
Trade frequency= at least one trade every 30 minutes
TIME IN market= 100%
Close all before Friday NY lunch

Exit= any of these...
Close all Buys when profit is @ per trade risk
Close all sells when profit is @per trade risk
Close all JPY or EUR when profit is @per trade risk
Close all opened during Tokyo when profit is @ per trade risk
Close all opened during London when profit is @ per trade risk
Etc etc.
Buy retail sell in bulk or Sell retail and buy in bulk....try it please.

I like it.

It sounds crazy...

So crazy...

... it just might work...

All of your trade scenarios appear to be Longs. Am I mistaken?
Should we just reverse them for shorts?
Thanks

Ah thank you for pointing this out. Yes, reverse everything for shorts. I will make an adjustment to the first post.

MA That Displays Slope Color

Hey sis.yphus,

I am mainly interested how you cut losers? Which indications do you use to determine if that particular trade is worth cutting when over 90% of your trades win? Is it PA or the indicators telling you that? Since it is your strat, the exit/cutting should be defined as well.

Also, the indicator that you attached with the colours basically mean red = short, blue = long together with the other MAs? If correct, the other MAs are simple or exponential?

Thank you, looking forward to test this :-)

What about setting SL to BE + spread and commission and letting it run for more pips instead of closing at 4 pips? Or have different sets of TPs?

I say go for it, but make sure to book your pips when you can because the small gains add up super fast. How you manage the trades is up to you.


As for cutting losers, I will be posting some more on that soon with some more graphs for those who love data like me.

As for the MA being exponential or simple, these ones are simple I believe, but it really won't make much of a difference depending on which type you use.

Subs. Thanks and
Regards

Hey sis.yphus, I am mainly interested how you cut losers? Which indications do you use to determine if that particular trade is worth cutting when over 90% of your trades win? Is it PA or the indicators telling you that? Since it is your strat, the exit/cutting should be defined as well. Also, the indicator that you attached with the colours basically mean red = short, blue = long together with the other MAs? If correct, the other MAs are simple or exponential? Thank you, looking forward to test this :-)
same here. Thanks and
Regards

Expecting EU to head south after/during Draghi speech. Starting to get in some shorts looking for small scalps. If it moves quick will look for some bigger gains.

The Anatomy of a Loser


So it appears that this question has already become pretty frequently asked... "How do you know when to cut a loss?"

This is a tough question. How can you make sure you don't become so tied to one deal, that you continue to pour resources into it even though its most likely a loser based on the behaviors and current results of the deal?

You look at the data! You need to figure out how losers behave. Just knowing how the losers act though isn't enough, you also need to know how your winners behave. This way you can make educated guesses on how your current trade is likely to develop based on its current development.

So without further ado, let's look at the data!

IMPORTANT NOTE:
These are just average values for MAE/MFE. This means 50% of the time the MAEs will be LARGER than the average. One out of 2 will be larger than the average...
-------------------------------------------------
Let's start by getting a general overview of how the losers and winners behave during the different hold periods after our entry.

The Bird's Eye View:




We can see a very clear difference in behaviors of the winners and losers. If a winner is going to take a long time to be a winner (100-200+ bars), the average MAE will still stay relatively low even though you will be holding the position for so long. On the flip side, if a loser is a loser, it will happen rather quickly regardless of hold time.

If you are stuck in a trade for 150 candles, and your max MAE so far though is only say 15-20 pips or below the Losers Avg MAE, it is a safe assumption to bet that this trade will be a winner.

If you are stuck in a trade for 35 candles, and your max MAE is already 10-15 pips above the Losers Avg MAE, it is a safe assumption to bet that this trade is most likely a loser, because in general, if it were a winner, it would not see that high of drawdown, that early in the trade (Remember the important note though, you won't always be right). If it were a winner, on average, it wouldn't see that high of drawdown even if you had to hold for 200 more candles to get your tp.

The main idea of all this being, the longer you are in a trade, and the lower your MAE is, the more likely the trade is to be a winner. With each candle that closes while your MAE remains well below the average MAE for that hold period, the probabilities of that trade being a winner slightly increase (it is extremely slight, but it is increasing). The opposite is true if your MAE continues to be above average after each candle closes, this would mean the probabilities of this trade being a loser are slightly increasing with every new candle.

So we are able to draw some really good conclusions from our overview of the winners and losers. Next, let's dive down a little bit and look at these charts up close so we can come up with some general rules you guys can use to cut your losers.

Winners & Losers - First 100 Candles After Entry




Again notice how the Avg MAEs very drastically between the winners and losers.

On average, by 20 candles after entry, the average your MAE would have traveled is 6 pips within 20 candles if the trade is a loser. If it is a winner, this average is only 3 pips. Now, these difference are very small early on, but as we extend our hold time, they grow rapidly.

On average, by 40 candles after entry, the average your MAE would have traveled is about 19 pips within 40 candles if the trade is a loser. If it is a winner, this average is only about 4 pips.

On average, by 60 candles after entry, the average your MAE would have traveled is about 30 pips within 60 candles if the trade is a loser. If it is a winner, this average is only about 5 pips.

Rules for Cutting Losers:
- Within 20 candles of entry:
- - If your MAE has reached more than 3x the average, you are likely in a losing trade.
- - If the MAE has remained relatively low during this first 20 candles, chances are you in a winner.

- Within 40 candles of entry:
- - If your MAE is considerably greater than 19 pips within 40 candles, you are likely in a losing trade.
- - If the MAE has remained to be less than 10-15 pips within 40 candles, you are likely in a winning trade.

- Within 60 candles of entry:
- - If your MAE is at or around 30 pips within 60 candles, you are likely in a losing trade.
- - If your MAE has remained around 10-15 pips or so after 60 candles, you are likely in a winning trade.

- What to consider while watching the trade develop.
- - Imagine you were plotting the MAE line of your open trade as it develops, candle by candle. What does that line look like as it develops candle by candle? If it is developing how the avg MAE for our losing trades and continues to do so as each new candle forms, you are likely in a losing trade. If it is developing how the avg MAE for our winning trades and continues to do so as each new candle forms, you are likely in a winning trade.

I hope this helps everyone get a good sense of when to cut their losers and when to size into their position.

Thanks for a great thread, its so refreshing to see something backed up by real research.

Outstanding! Is this a custom solution you created or something available to us that we can use? A near real time solution via an indicator to run against trade history would be an awesome thing to have :-)

Edit: This is the only reason why I use myFXbook

Yes, this is coming from stuff I coded in MQL4 that dumps out into a spreadsheet.

Have something like this in the pipeline I hope I will be able to get around to soon.

Awesome. That would be a great share. Looking forward. I won't need to hook up to TE and myFXbook and expose my account to strangers :-)

May I suggest you include a filter on the comment field and/or by magicnumber. I track all my trades against "environment variabilities" so this would be a great addition to my post trade analysis...which is alsolutrly critical to the account growth. You are doing great service here bro. Keep it up!

And just to say it....I have said this several times before. I am against opening of new trades based on the status of open/floating positions. That should not be confused with post trade analysis that you are highlighting here. In fact, I value filters coming out of post trade analysis far more than filters based on Price itself. This is a very legit way to drill down and reduce your trade count and increase the razor sharpiness with the entries.

This is my approach to eliminating dependency on price (for those who have read my past posts and journey). This is the best systematic appraoch to addressing things that are in my control, things that can be controlled and things that just have to be left to the markets.

your technique is interesting, and i know a good technique always hard to understand. I like it, subscribed because i need to read it more than twice. Nice post