this thread is damn dangerous for newbies..i ask the moderators to close it before lives are ruined by overly excited traders
- #43
- Dec 30, 2006 1:00pm Dec 30, 2006 1:00pm
- Joined Apr 2005 | Status: Dopey Bastard | 1,568 Posts
Before you do your maths - First understand what is PAMM... and compounding several accounts... LoL
- #52
- Dec 30, 2006 3:52pm Dec 30, 2006 3:52pm
you cant know how much to bet until you know your system.
I keep a running average of my last 100 trades (as systems do change)
you need your winrate and your payrate (profit loss ratio). from there you can do basic fixed fractional betting plan. there are others that work better but this is a standard.
Example
if in 100 trades 40 were correct and the average gain on those trades were 22 pips and the average loss of the 60 incorrect trades were 13 pips then we have:
40% winrate
1.69 payrate (22/13)
from there you can figure out your kelly
Kelly % = winrate – [(1 – winrate) / payrate ]
Kelly % = 0.40 - [(1-0.40)/1.69]
Kelly % = 4.497
course after that you need to find your streaks and drawdowns and risk of ruin and settle at a betsize you are confortable with. usually kelly/3 works out pretty well for this.
for this system at first glance using fixed fractional i would risk 1.499% (4.497/3)
A real life example
i have been forward live testing pipboxer with 0.01$ pips for about 2 months now. so far i only have 33 trades so its not complete yet, but here are the stats
total trades: 33
wining trades: 21
average pips in win: 41.71
avarage pips in loss: 58.91
winrate: 63.63%
payrate: 0.71
Kelly % = winrate – [(1 – winrate) / payrate ]
Kelly % = 0.6363 - [(1-0.6363)/0.71]
Kelly % = 12.4%
Kelly/3 = 4.13%
initial post example
winrate: 95%
payrate: 1.00 (assuming)
Kelly % = winrate – [(1 – winrate) / payrate ]
Kelly % = 0.95- [(1-0.95)/1.00]
Kelly % = 90%
Kelly/3 = 30%
i wouldnt bet 30% even on that system, dont think i would like the 3 loss streak lol.
just risking 1% or 2% because that is a random number you picked can break your bankroll or put you on the freeway to nebraska at 10mph. your system should tell you your betsize, dont just make it up
. there are several better MMs that you can use that work better and take into account streaks, drawdowns and chance of wiping out your account, saving money, distributions ect, but kelly is always a good starting
I keep a running average of my last 100 trades (as systems do change)
you need your winrate and your payrate (profit loss ratio). from there you can do basic fixed fractional betting plan. there are others that work better but this is a standard.
Example
if in 100 trades 40 were correct and the average gain on those trades were 22 pips and the average loss of the 60 incorrect trades were 13 pips then we have:
40% winrate
1.69 payrate (22/13)
from there you can figure out your kelly
Kelly % = winrate – [(1 – winrate) / payrate ]
Kelly % = 0.40 - [(1-0.40)/1.69]
Kelly % = 4.497
course after that you need to find your streaks and drawdowns and risk of ruin and settle at a betsize you are confortable with. usually kelly/3 works out pretty well for this.
for this system at first glance using fixed fractional i would risk 1.499% (4.497/3)
A real life example
i have been forward live testing pipboxer with 0.01$ pips for about 2 months now. so far i only have 33 trades so its not complete yet, but here are the stats
total trades: 33
wining trades: 21
average pips in win: 41.71
avarage pips in loss: 58.91
winrate: 63.63%
payrate: 0.71
Kelly % = winrate – [(1 – winrate) / payrate ]
Kelly % = 0.6363 - [(1-0.6363)/0.71]
Kelly % = 12.4%
Kelly/3 = 4.13%
initial post example
winrate: 95%
payrate: 1.00 (assuming)
Kelly % = winrate – [(1 – winrate) / payrate ]
Kelly % = 0.95- [(1-0.95)/1.00]
Kelly % = 90%
Kelly/3 = 30%
i wouldnt bet 30% even on that system, dont think i would like the 3 loss streak lol.
just risking 1% or 2% because that is a random number you picked can break your bankroll or put you on the freeway to nebraska at 10mph. your system should tell you your betsize, dont just make it up
. there are several better MMs that you can use that work better and take into account streaks, drawdowns and chance of wiping out your account, saving money, distributions ect, but kelly is always a good starting - #53
- Dec 30, 2006 4:31pm Dec 30, 2006 4:31pm
- Joined Nov 2005 | Status: EURUSD Quant FREAK | 3,197 Posts
- #55
- Dec 30, 2006 4:54pm Dec 30, 2006 4:54pm
- | Commercial User | Joined Mar 2004 | 1,255 Posts
better not give anyone any ideas...
- #57
- Dec 30, 2006 6:15pm Dec 30, 2006 6:15pm
Sorry about that, in the end I just gave up. Then realised if I started on about trading systems it would take the thread way off track. In February I'll open a trading journal and you can see what I've discovered.
Thanks to all those who took part, I think FF is a wonderful place for people to learn and keep up the good work, In the last 3 days I have had a total of six hours sleep, I am just so excited and wound up about the expectations that I have for a great 2007.
While I think about it "HAPPY NEW YEAR"
Now I am going to CRASH!!
Thanks to all those who took part, I think FF is a wonderful place for people to learn and keep up the good work, In the last 3 days I have had a total of six hours sleep, I am just so excited and wound up about the expectations that I have for a great 2007.
While I think about it "HAPPY NEW YEAR"
Now I am going to CRASH!!
KudzuFx
Thank you, I'm glad somebody brought this up. Where you get in and where you get out is THE most important thing. You need to join direction and timing at one point in time. If you can find the key to that, well you've got it made.
Let me post some charts and I'll show you what I mean,give me 30mins
Roy
Polishing my crystal ball
