ForexOrderFlow.com Return This Year:
11.1%
Poll
- Which trade setup has the higher Expected Value
- #7
- Edited 11:41pm Sep 15, 2024 11:30pm | Edited 11:41pm
The word "probability" is a bit ambiguous here, but I assume you refer to the title of the poll: "which trade setup has the highest expected return?".
To measure is to know. Below is a small program that simulates 200,000 random price charts and measures the median return and the number of trades on each of them if you are always in the market. Note that this is a Java program not an MQL5 program (for much better speed), but ForexFactory won't let me upload Java files so I had to rename it. Rename it back if you like to compile and run the program:
This gives the following results:
Since there is no entry logic and only cost, all strategies are showing a negative return. Those with a tighter SL/TP have more trades. The median return per trade is similar but not exactly the same, although those strategies with a larger TP seem to do worse. Perhaps that is just noise due to a lower amount of trades in the simulation. I will have to rerun the simulations with more trades to see if that gives the same result everywhere.
To measure is to know. Below is a small program that simulates 200,000 random price charts and measures the median return and the number of trades on each of them if you are always in the market. Note that this is a Java program not an MQL5 program (for much better speed), but ForexFactory won't let me upload Java files so I had to rename it. Rename it back if you like to compile and run the program:
This gives the following results:
Since there is no entry logic and only cost, all strategies are showing a negative return. Those with a tighter SL/TP have more trades. The median return per trade is similar but not exactly the same, although those strategies with a larger TP seem to do worse. Perhaps that is just noise due to a lower amount of trades in the simulation. I will have to rerun the simulations with more trades to see if that gives the same result everywhere.
I adjusted the amount of simulated ticks per strategy to ensure they all get the same amount of trades on average (=64 trades like that last row of previous post). I combined all 5 strategies in one program that you can run overnight for convenience:
To my surprise, there are differences in the median return per trade! Only small differences, but still...
Not sure how to turn this into an edge, but interesting stuff nonetheless...
To my surprise, there are differences in the median return per trade! Only small differences, but still...
Not sure how to turn this into an edge, but interesting stuff nonetheless...