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looking to build aggressive MM strategy

  • #61
  • Dec 30, 2006 9:36pm Dec 30, 2006 9:36pm
Quoting Dopey
My math is correct. The poster stated, clearly, in no uncertain terms, that $100 doubled every month will equal $1,000,000 in 9 months. It doesn't. I pointed that out. I do understand what you said, but that wasn't the point, was it? His math was wrong, nothing more, nothing less. If I wanted to second guess what he meant, I'd much rather have a conversation with my wife.
Hmmm... not another one pleasee...

My answer to you was not even rude. The point of this thread is to learn, not to point fingers to show who is right or wrong.

Ok, you are right, go and have another conversion with your wife and DONT make another post!

This is my last post here. END
Change Your Thinking. Change Your Life - JD
  • #62
  • Dec 30, 2006 10:16pm Dec 30, 2006 10:16pm
Quoting permanentjaun
That isn't always possible. My point is it becomes almost impossible to profit when you only take the 5 pips profit. If you lose and need to continue trading to get your profit target then youre risking a lot of money. What is the SL on the first trade when looking for 5 pips? You risk a lot to win on the 5 pips, but you lose. What is your SL? 25-50 pips? Since you're risking more on each consecutive trade then losing one trade is going to set you back more than just 5-10 wins in a row. It could easily set you back 10-20 since the losing trade is the most recent one which you risked the most on out of all the trades.

Example:

Risk $1000 - win 5 pips - account = 1050 - 1pip = $10
RIsk 1050 - win 5 pips - account = 1125 - 1 pip = $15
Risk 1125 - win 5 pips - account = 1225 - 1pip = $20
risk 1225 - win 5 pips - account 1350 - 1 pip = $25
risk 1350 - win 5 pips - account 1500 - 1 pip = $30
risk 1500 - lose 20 pips - account 800 - 1 pip = $35

See what I mean? You're increasing the pip values on each trade. Even if your SL was equal to TP you would lose more than you had won on any previous trade. You can't just say you keep trading for the 5 pips. Just going for SL requires a SL much larger than 5 pips to avoid being stopped out frequently, and then that is only compounded by always increasing your risk on each trade. Matt
U really din get the point or any real idea what scalping is. Linux will have to give u some real crashcourse...Its always easier to make 5 pips in a rangless market than 20 pips...will u be wrong? yes...is it for newbies? no. Why? coz the noobs just dun have the abililty to sustain such heavy risks...this is as per discussed high level proffesional traders MM. When u know what scalping is REALLY all abt...u wun care if anyone claimed making 200 pips daily anymore. trust me.
  • #63
  • Dec 30, 2006 11:14pm Dec 30, 2006 11:14pm
Quoting jest1081
U really din get the point or any real idea what scalping is. Linux will have to give u some real crashcourse...Its always easier to make 5 pips in a rangless market than 20 pips...will u be wrong? yes...is it for newbies? no. Why? coz the noobs just dun have the abililty to sustain such heavy risks...this is as per discussed high level proffesional traders MM. When u know what scalping is REALLY all abt...u wun care if anyone claimed making 200 pips daily anymore. trust me.
The point of this thread was about very risky money management of throwing much more than 1-2% risk at a trade. He wants ever increasing risk as the account grows. Then this was from oranges post - "- Target 5pips only a day!! at 50% MM"

I know what scalping is, and as you note, it is not uncommon for people to achieve 200 pips in a day scalping. This thread is not about scalping. It is about using radically risky money management. A scalper making 200 pips a day probably isn't throwing 50% risk at each one of their scalps. A scalper also isn't only going to have a target of only 5 pips in one day. I think you've missed the point of the thread.
  • #64
  • Dec 30, 2006 11:35pm Dec 30, 2006 11:35pm
i see ur point...you should check with linux how many pips he targets a day before going for his daily golf sessions... risk ratio of making 5pips in a trade is better than making 20 pips. So if a scalper target 5pips ++ , the MM has to be radical to get any significant returns. But thats where the risk is low too...coz u are not looking for more than that. Gd day. The trade has to go one directional and no scalper will aim to lose 20 pips in a 5 pip trade..
  • #65
  • Dec 31, 2006 12:04am Dec 31, 2006 12:04am
Quoting jest1081
i see ur point...you should check with linux how many pips he targets a day before going for his daily golf sessions... risk ratio of making 5pips in a trade is better than making 20 pips. So if a scalper target 5pips ++ , the MM has to be radical to get any significant returns. But thats where the risk is low too...coz u are not looking for more than that. Gd day. The trade has to go one directional and no scalper will aim to lose 20 pips in a 5 pip trade..
Absolutely...

PS! Scalping - Golf swing? Must be good at short game... LoL :o)
  • #66
  • Dec 31, 2006 2:35am Dec 31, 2006 2:35am
Quoting linuxtroll
Absolutely...

PS! Scalping - Golf swing? Must be good at short game... LoL :o)
Linux, hi

I still see no point in having multiple accounts withe the same % risked...

Do you have different risk factors on different accounts?

Hmmm..... That makes sense... for eample 5 accounts for GBP, 5 for yen, 5 for EUR/JPY - with thie strategy there is diversification (different pairs) and safe growth even with only 5 pips a day on day's breakout... Am I right? ))
Quidquid latine dictum sit altum viditur
  • #67
  • Dec 31, 2006 6:31am Dec 31, 2006 6:31am
Very enjoyable thread.Nice to have all this optimism on New Years Eve. Very appropriate.
But just a note to newbies (I am still wet behind the ears myself); the theories are all fine, compound interest is a wonderful thing BUT you will find pulling the trigger at $100 is a lot different than pulling at $10,000. Just like you might be able to shoot 50 fowl shots in a row in practice, but when the game is on the line can you make just one. Some of the people on this thread are hard, cold, seasoned traders. Nothing wrong with that. They CAN and Do pull the trigger. You will too in-time but it will take time. Personally I am trying to train myself to think about the pips only not the $. So just don't go out and buy the new wheels on Tuesday.
Happy New Year.
  • #68
  • Dec 31, 2006 11:22am Dec 31, 2006 11:22am
Forget about the $$$$$, FOCUS on the pips. try not to think about that pip being worth $100........... its only a pip. ..........after all this whole thing is just mind over matter, if you don't mind ...... it don't matter.
Same Whore .... Different Dress
  • #69
  • Dec 31, 2006 8:35pm Dec 31, 2006 8:35pm
Quoting dottore
Linux, hi

I still see no point in having multiple accounts withe the same % risked...

Do you have different risk factors on different accounts?

Hmmm..... That makes sense... for eample 5 accounts for GBP, 5 for yen, 5 for EUR/JPY - with thie strategy there is diversification (different pairs) and safe growth even with only 5 pips a day on day's breakout... Am I right? ))
dottore

Good morning and Happy new year to everybody, it's 2007 in the land downunder. I slept through it all.

I was wondering if you could run a simulation for me, it might seem strange and far fetched but the results would help me a great deal.

I might have to do some tweaks but the basis of this strategy is this:

Lets say we open an account with $1000.
All trades will have the same profile. Starting the first trade with 1 Lot(Mini so $1.00). At +20 we scale in another lot, at plus 40 we scale in another lot, and we close the trade at +60. All stops are set at 15 pips including spread.Now we have $1120.(The first trade of the new year is allways a winner, think positive!!!)
Using the same margin as we did in the first trade ie.5 to 10 to 15% We take the next Trade.
I know this will seem wierd but every trade will have the same take profit margin.
Now we need two random number generators that will give us
1) a failure rate of 25%, 20%, 15%, and 10%. Applied to the initial lot ( in other words the trade gets stopped before it reaches +20.Each level applied to at least 100Trades
2)The second random sequence failure rate(as above) is applied to the trade AFTER it reaches +20.(again each level applied to at least 100 trades.)

Does that make sense to you?

Roy
Polishing my crystal ball
  • #70
  • Dec 31, 2006 8:55pm Dec 31, 2006 8:55pm
Quoting dottore
Linux, hi

I still see no point in having multiple accounts withe the same % risked...

Do you have different risk factors on different accounts?

Hmmm..... That makes sense... for eample 5 accounts for GBP, 5 for yen, 5 for EUR/JPY - with thie strategy there is diversification (different pairs) and safe growth even with only 5 pips a day on day's breakout... Am I right? ))
dottore

Good morning and Happy new year to everybody, it's 2007 in the land downunder. I slept through it all.

I was wondering if you could run a simulation for me, it might seem strange and far fetched but the results would help me a great deal.

I might have to do some tweaks but the basis of this strategy is this:

Lets say we open an account with $1000.
All trades will have the same profile. Starting the first trade with 1 Lot(Mini so $1.00). At +20 we scale in another lot, at plus 40 we scale in another lot, and we close the trade at +60. All stops are set at 15 pips including spread.Now we have $1120.(The first trade of the new year is allways a winner, think positive!!!)
Using the same margin as we did in the first trade ie.5 to 10 to 15% We take the next Trade.
I know this will seem wierd but every trade will have the same take profit margin.
Now we need two random number generators that will give us
1) a failure rate of 25%, 20%, 15%, and 10%. Applied to the initial lot ( in other words the trade gets stopped before it reaches +20.Each level applied to at least 100Trades
2)The second random sequence failure rate(as above) is applied to the trade AFTER it reaches +20.(again each level applied to at least 100 trades.)

Does that make sense to you?

Roy
Polishing my crystal ball
  • #71
  • Jan 1, 2007 3:48am Jan 1, 2007 3:48am
#include <stdio.h>
#include <stdlib.h>
#include <math.h>
#include <time.h>

int mode,pipwin,piplose,lots;
unsigned long int totalmoney;
float fwin,frisk;//fwin--winning fraction, frisk--risk fraction
float profit;

void readinput()
{
printf("\nMode 1 stands for fixed profit, while 2 for random profit. \nPlease choose 1 or 2: ");
scanf("%d", &mode);
printf("\nPlease input the following parameters respectively:");
printf("\nwinning pips, losing pips, winning percentage, risk percentage in decimal.\n\n");
scanf("%d %d %f %f",&pipwin,&piplose,&fwin,&frisk);
}

int main()
{
int random, realwin;
readinput();
totalmoney=1000;

srand(time(NULL));
for (int i=0;i<10000;i++)
{
random=rand()%100;
lots=int(floor(totalmoney*frisk/piplose));
if(lots<1)
{
printf("\nSorry, not enough money. i=%d",i);
break;
}
printf("\nLot No.%3d", i+1);
printf(" lots=%2d",lots);
printf(" random=%2d",random);
if(random<(fwin*100)) //if win
{
switch(mode)
{
case 1: realwin=pipwin*lots; break;//fixed profit
case 2: realwin=(1+rand()%pipwin)*lots; break;//random profit
}
totalmoney+=realwin;
printf(" win %d",realwin);
}
else //if lose
{
totalmoney-=(piplose*lots);
printf(" lose %d",piplose*lots);
}
printf(" total=%ld",totalmoney);
}
printf("\nthe total money is %ld\n",totalmoney);
return(0);
}
  • #72
  • Jan 1, 2007 4:02am Jan 1, 2007 4:02am
include files:
stdio.h
stdlib.h
math.h
time.h

It's written in C and doesn't check your input data validation. I use it for MM simulation to find optimum risk factor.
Anyone intersted can modify the code to fit you own idea. Best risk factor is subject to you winning possibility. Higher winning rate encourages higher risk factor up to 0.10 or 10%. Otherwise you'd better employ 0.02 or 2% lose at your most risk.
  • #73
  • Edited 9:23am Jan 1, 2007 4:10am | Edited 9:23am
Happy New Year to you all!

Forgot to tell you that 10000 trades in my code are far too many. You can change it to 1000 or any you like.
It's very intersting to sit there looking the screen where the trades scroll up very fast.

Happy new year you you guys all. I got an extra Chinese lunar new year to expect.

Thanks and Best Regards,
Steve from fareast
  • #74
  • Jan 1, 2007 5:28am Jan 1, 2007 5:28am
Quoting SteveFareast
Happy New Year to you all!

Forgot to tell you that 10000 trades in my code are far too much. You can change it to 1000 or any you like.
It's very intersting to sit there looking the screen where the trades scroll up very fast.

Happy new year you you guys all. I got an extra Chinese lunar new year to expect.

Thanks and Best Regards,
Steve from fareast
SteveFareast

Thanks for that.
Unfortunatly it means nothing to me , this kind of code I do not know .
Actually, the more I think about this basic strategy, the more I'm convinced that It would help noobs to stay in the game longer. Why?
There can be only 4 results with this simulation.
A) 1st Lot Stopped -15
B) 2nd Lot Stopped -15 (+5)= -10
C) 3nd Lot stopped -15 (+25)+5 = +15
D) Goes all the way +120

Imagine taking 3 trades a day for a week.

Monday we trade an A,B, and C trade,Result -10
Tuesday Same trades same results -10
Wed same Blah Blah -10
Thurs 3 trades -10

Now we think we should go back to Demo!
But on the Very last trade on Friday, Bingo!

Friday Trade A, B, and WhoHooo D +95
Result for the whole week +55

Thats 1 trade in 15 that pulled us thru.
In fact you could trade all next week and be down -50 and STILL be in front!

Hmmmmm Food for thought,
Roy
Polishing my crystal ball
  • #75
  • Jan 1, 2007 10:03am Jan 1, 2007 10:03am
Quoting 30XTCi

dottore

Good morning and Happy new year to everybody, it's 2007 in the land downunder. I slept through it all.

I was wondering if you could run a simulation for me, it might seem strange and far fetched but the results would help me a great deal.

I might have to do some tweaks but the basis of this strategy is this:

Lets say we open an account with $1000.
All trades will have the same profile. Starting the first trade with 1 Lot(Mini so $1.00). At +20 we scale in another lot, at plus 40 we scale in another lot, and we close the trade at +60. All stops are set at 15 pips including spread.Now we have $1120.(The first trade of the new year is allways a winner, think positive!!!)
Using the same margin as we did in the first trade ie.5 to 10 to 15% We take the next Trade.
I know this will seem wierd but every trade will have the same take profit margin.
Now we need two random number generators that will give us
1) a failure rate of 25%, 20%, 15%, and 10%. Applied to the initial lot ( in other words the trade gets stopped before it reaches +20.Each level applied to at least 100Trades
2)The second random sequence failure rate(as above) is applied to the trade AFTER it reaches +20.(again each level applied to at least 100 trades.)

Does that make sense to you?

Roy
Hi, happy New Year to you!

I chased my cats (six) during midnight in order to support em...

If I understand you properly: this is some kind of a "staircase' - but the problem is rather obviuos to me without random or pseudorandom simulation (maybe I don't understand something so please correct me):

1. you enter the market with 15 SL and after +20 pips you enter with second and after +40 you enter thrice.

2. You close all positions at 60 pips.

3. "1) a failure rate of 25%, 20%, 15%, and 10%. Applied to the initial lot ( in other words the trade gets stopped before it reaches +20.Each level applied to at least 100Trades"

Do you want to calculate the expected outcome of all possible combinations?

for example win/loss at 1 level is 75/25 than expected outcome of his trade is

E = 0,25 * (-15) + 0,75*(20) = 11.25
Quidquid latine dictum sit altum viditur
  • #76
  • Jan 1, 2007 11:20am Jan 1, 2007 11:20am
Quoting 30XTCi

dottore

Good morning and Happy new year to everybody, it's 2007 in the land downunder. I slept through it all.

I was wondering if you could run a simulation for me, it might seem strange and far fetched but the results would help me a great deal.

I might have to do some tweaks but the basis of this strategy is this:

Lets say we open an account with $1000.
All trades will have the same profile. Starting the first trade with 1 Lot(Mini so $1.00). At +20 we scale in another lot, at plus 40 we scale in another lot, and we close the trade at +60. All stops are set at 15 pips including spread.Now we have $1120.(The first trade of the new year is allways a winner, think positive!!!)
Using the same margin as we did in the first trade ie.5 to 10 to 15% We take the next Trade.
I know this will seem wierd but every trade will have the same take profit margin.
Now we need two random number generators that will give us
1) a failure rate of 25%, 20%, 15%, and 10%. Applied to the initial lot ( in other words the trade gets stopped before it reaches +20.Each level applied to at least 100Trades
2)The second random sequence failure rate(as above) is applied to the trade AFTER it reaches +20.(again each level applied to at least 100 trades.)

Does that make sense to you?

Roy
Quoting 30XTCi
SteveFareast

Thanks for that.
Unfortunatly it means nothing to me , this kind of code I do not know .
Actually, the more I think about this basic strategy, the more I'm convinced that It would help noobs to stay in the game longer. Why?
There can be only 4 results with this simulation.
A) 1st Lot Stopped -15
B) 2nd Lot Stopped -15 (+5)= -10
C) 3nd Lot stopped -15 (+25)+5 = +15
D) Goes all the way +120

Imagine taking 3 trades a day for a week.

Monday we trade an A,B, and C trade,Result -10
Tuesday Same trades same results -10
Wed same Blah Blah -10
Thurs 3 trades -10

Now we think we should go back to Demo!
But on the Very last trade on Friday, Bingo!

Friday Trade A, B, and WhoHooo D +95
Result for the whole week +55

Thats 1 trade in 15 that pulled us thru.
In fact you could trade all next week and be down -50 and STILL be in front!

Hmmmmm Food for thought,
Roy
I still just quite get a handle on your logic....I'm kind of a visualy orrented guy so mabe you could draw me a picture of this on a chart. you may be on to something
Same Whore .... Different Dress
  • #77
  • Jan 3, 2007 1:45pm Jan 3, 2007 1:45pm
Great thread -- let's keep this one going!!


Cheers,
Jeff
  • #78
  • Jan 17, 2009 6:48am Jan 17, 2009 6:48am
No doubt many are familiar with the work of Ryan Jones.

Google "Ryan Jones Money Management" and have a read of the returns.

I was surprised after reading the thread that this didn't come up. It is as safe and as aggressive an approach as you would want - have a look at what it did to an account in the enclosed screen shot from one site.

What I hope to gain by posting this here, is feedback.

Has anyone continued to use the Dottore Method?
What method did 30XTCi eventually go with?
How is it panning out now?

Now I have read some negative stuff about Ryan Jones' method, but I have looked and although the critic ties it all up with probability and percentages, the bottom line is still FAR better using a fixed ratio money management system, than not.

This is not in my area of skills so would appreciate input from someone who does understand and know about fixed ratio MM.

Another method has been playing in my mind - parlaying profits.

If you start with a position size risking $100 and you manage to win another $200 using a 2:1 Risk Reward strategy (conservative), why not reinvest a masive part of your profit alongside your next trade risk.

For example, your next trade might usually risk $100, but because you just won $200 why not add another $50 (or here insert your own arbitrary or calculated figure) to this next trade as risked capital?

This trade would then be risking 50% more, for another nice gain if it wins, and only an extra 25% loss of previous profits, if it loses?

For example - you are ahead by $200 from last trade win.
Your normal risk would be $100.
You incrase this to $150 risked.
Your previous profit reduces to $150 and stays in your account.

This is an example only, of an off-the-cuff method of parlaying profits to speed account growth without adding too much to normal account risk per trade.

It can withstand 4 losses in a row before getting back to previous level, but the reward for just ONE win, again parlayed in the same manner, could be exponential.

Or not?

I would have to work it by hand. Someone may have the mathematical formula for this though.

Just an addition to the previous posts, and looking for feedback to the thread.
Attached Image
  • #79
  • Jan 17, 2009 8:09am Jan 17, 2009 8:09am
Hallo Guys

I am newbie. I just want to share how I trade.
First I take 10% from equity to determine how many lot I use.
Then I take position without TP, if already make 15 pips profit, I will change my SL, so I still make profit 5pips, then I take another 5 lot, and again.
If my position is wright, usually I have 4 positions, and then I give all same TP, about 15 pips from my last position.
If direction is wrong, I use hedging around 20-25 pips.
  • #80
  • Jan 19, 2009 4:22am Jan 19, 2009 4:22am
Quoting Ingot54
No doubt many are familiar with the work of Ryan Jones.
Ingot, I read Dr Jones' 'The Trading Game' book maybe 4-5 years ago; looks like I should dig out my copy and re-read.

My memory is a little hazy, but I think the conclusion I came to re Fixed Ratio sizing was that, looking past its sophisticated terminology, it ultimately had much the same effect as increasing pos size (%-wise) following each winning trade, and gradually decreasing it back toward a certain limit following each loss.

If one is going to vary pos size, and the higher sizes happen to coincide with winners, then obviously the account balance will grow at a faster rate. But if the larger sizes coincide with losses, then drawdown will be greater. Hence the key becomes: is the probability of a winning trade greater, if the previous trade(s) were also winners (and vice versa)? If wins and losses tend to 'cluster' (e.g. as market conditions shift between 'favorable' and 'unfavorable'), then this type of MM will accelerate profit. However, if I may be pedantic, I believe that the extent of clustering is a 'forecasting' (expectancy) rather than an 'MM' consideration.

If we may use the game of Roulette as an analogy, every spin is a completely independent event (i.e. there is no clustering), hence no MM system can alter the game’s expectancy. Hence whatever the extent to which trade outcomes are statistically independent of each other, likewise determines the extent to which MM is 'impotent' in forex.

The attached spreadsheet (which was originally used to test Martingale MM) nonetheless allows you to vary a number of parameters:

a) The maximum number of trials (up to 6)
b) The probability of a win on Trial #1
c) The probability of a win, following an immediately previous win
d) The probability of a win, following an immediately previous loss
e) The starting bet size
f) The way the bet size is to be varied, immediately following a win
g) The way the bet size is to be varied, immediately following a loss
h) The ability to quit after a specified number of wins
i) The ability to quit after a specified number of losses

There is a results area that shows both win rate, and expectancy values.

-- If we leave (b), (c) and (d) all as 50%, then notice that expectancy remains zero no matter how we vary the MM-based parameters (i.e. (e) onwards).

-- If we increase (b), (c) and (d) to a value > 50% (but all the same value), then increasing the bet size will increase the overall expectancy, but not the expectancy per average bet. In other words, using a 'fancy' approach to MM is no better than simply using a higher flat bet size throughout. The fact that expectancy is positive is not due to the MM, but just that the probability of a winning 'trade' has been increased. (Of course, conversely, if we decrease (b) (c) and (d) all to values < 50%, then expectancy will always be negative).

-- if, however, we set (b) (c) and (d) to (say) 50%, 60%, 40% respectively, i.e. introducing a 'clustering' effect, now increasing the bet size following a win, and/or decreasing it following a loss, will improve the expectancy per average bet. In other words, the MM can be used to magnify profitability that has been introduced by the clustering.

Admittedly the XLS oversimplifies by taking only win probability, and not win size/loss size into account, but the overall effect is exactly the same.

This is arguably quite complex, but an understanding brings the realization that unless there is evidence that the probability of win (e.g. due to clustering, or a higher probability setup) is greater than 'normal', increasing pos size can only ever have the effect of increasing both return and risk (drawdown) in the same proportion. In other words, I concur with Merlin's findings back in the early posts (#2, #5) of this thread, namely that expectancy is the product of one's entries and exits, and that MM operates independently of it.

There’s also a very good thread here on MM (the ‘clustering’ effect is referred to as ‘serial correlation’).

BTW, I assume you are my good friend Mr I.B. from the Incredible Charts forum -- welcome (belatedly, sorry) to Forex Factory.

Best wishes,
David (Louisson)
Attached File(s)
File Type: xls Martingale comparison testing.xls   157 KB | 366 downloads
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