Long term Profits within Negative Expectancy | Page 9 | Forex Factory

Options

Go to
Permalinks
Print Thread

Similar Threads

What is Expectancy? 13 replies

System Expectancy - Monte Carlo Simulation 5 replies

Short Term / Medium Term / Long Term? 3 replies

Random Market vs Set Expectancy 8 replies

Expectancy is always zero 41 replies

Attachments: Long term Profits within Negative Expectancy
Exit Attachments

Long term Profits within Negative Expectancy

  • #161
  • Aug 21, 2009 1:24pm Aug 21, 2009 1:24pm
Quoting FrankenPip
HI daytrading:

The analogy is flawed.

Have you read "FOOLED BY RANDOMNESS"? The proof you seek is in that text.

What analogy?

It was a metaphor in the book to explain the principle.

Further to this, Nassim Taleb has not made a fraction of the money Larry Williams has extracted from trading.

That should tell you something.

regards
daytrading
Enter Signature
  • #162
  • Aug 21, 2009 1:27pm Aug 21, 2009 1:27pm
I think I understand the "confusion".

Randomness is being used in place of "biased".

Let's say we flip a normal coin. The odds of heads on any flip is 50/50. But you can not predict the outcome of any flip because it is random. I think we agree.

Let's say we flip a weighted coin. The odds of heads on any flip is 75/25. But you can not predict the outcome of any flip because it is random. The coin is biased and over the long haul it will land heads 75% of the time. But you still can not predict the outcome of any single flip.

The market may be biased but it is certainly random.

QED.
If you only trade long, then you can't always be wrong.
  • #163
  • Edited 2:04pm Aug 21, 2009 1:44pm | Edited 2:04pm
People,

Let me conclude my participation in this seemingly perpetual struggle of either side to persuade the other whether the markets are random or not and whether it is possible to earn huge sums of money by daytrading the retail market.

If you are (and you means in this case anyone who agrees with Petra) missing that specific ingredient which prevents you from making the jump to that elusive 5% plateau of consistently winning traders who make money all their life, then maybe you are right in deciding to trade as a hobby or gamble from time to time, like people who visit a casino.

All the traders who have done it for many years (including myself for 22) and have or have not got a degree in math, physics or the like are proof that it works. I have come across people who got hired from the position of waiter in a restaurant because they had great number memory and as a result made tons on the futures floor, day after day.

The cue of people (like Petra at this point in time) who are on the other side will always be bigger and as someone else said earlier, any attempts to convince those will be crushed by vote of majority.

I thought it was an interesting thread at first, but it seems to have lost its appeal. I have contributed my points and my bankroll over the years tells me to carry on trading - whether mathematically the chances are stacked against me or not. If they are, I count myself plus all the people I know who do the same, as simply furtunate...and will say sorry for those who are not.

But honestly, I don't believe in luck.

All the best and keep on looking.

regards
daytrading
Enter Signature
  • #164
  • Aug 21, 2009 1:49pm Aug 21, 2009 1:49pm
Quoting daytrading
People,

Let me conclude my participation in this seemingly perpetual struggle of either side to persuade the other whether the markets are random or not and whether it is possible to earn huge sums of money by daytrading the retail market.

If you are (and you means in this case anyone who agrees with Petra) missing that specific ingredient which prevents you from making the jump to that elusive 5% plateau of consistently winning traders who make money all their life, then maybe you are right in deciding to trade as a hobby or gamble from time...
I appreciate all your posts. I am very happy for you and congratulate you on your success of 22 years. I'm sure our paths will cross again, and I hope your success continues. All the best and Kindest Regards......
  • #165
  • Aug 21, 2009 2:21pm Aug 21, 2009 2:21pm
Quoting FrankenPip
HI daytrading:

The analogy is flawed.

Have you read "FOOLED BY RANDOMNESS"? The proof you seek is in that text.
Have you actually read it? One minute your saying that everyone who believes the market is not random is a fool for thinking that and can't make any money. The next you say that the key to successful trading is in your name, suggesting you do think it is possible to make money from the market.

Which is it?

Just because you can't predict the outcome of every tick, is not conclusive proof that the market is completely random. It has characteristics that repeat over and over. There is order in the madness. The fat tail is the statistical representation of market characteristics. The fat tail arises out of fear and greed.

And with regards to the spread, technically it plays a part in the calculation, but the point I was trying to make clear is that the expectancy is determined by your trading approach, not by the spread. How much the spread affects you is determined by you and not the market. If you want to make 500 trades a day with 1 pip target, then the spread is a big issue. If you trade once a year with a 1000 pip stop, does the spread matter? Its up to you.
  • #166
  • Aug 21, 2009 2:39pm Aug 21, 2009 2:39pm
Quoting ThePipDoctor
Have you actually read it?...
Hi ThePipDoctor:

Yes, I read the book.

Yes, I know, by definition, the market is random and it is also biased.

Yes, you can trade successfully.

You are correct in repeating the spread plays a part in the calculation.

You can't predict every tick? You can't even predict if the market will close up or down from day to day, week to week, month to month, or year to year.

It is EGO that prevents traders from saying the market is random and luck is involved.

If you want to see how I take advantage of the randomness of the market everyday, read my FF thread or see my posts in the Asian Box threads.
If you only trade long, then you can't always be wrong.
  • #167
  • Edited 3:04pm Aug 21, 2009 2:45pm | Edited 3:04pm
Quoting FrankenPip
It is EGO that prevents traders from saying the market is random and luck is involved.
I wonder - If I do all my trading through my algos without any human intervention as I have done since begin of this year, is my ego still in charge and luck involved?

Here is an another link to scientific study related to this thread
http://www.buffalo.edu/news/10364

I think this is my last post to this thread unless Petra wants to comment the another study I posted link to (full text available online for free).
  • #168
  • Aug 21, 2009 2:53pm Aug 21, 2009 2:53pm
Quoting daytrading
Daily volatility can be measured by calculating the difference between the day's high and the close. If that value increases out of recent proportion, trend changes are happening.regards
daytrading
dont you mean: the difference between the day`s high and the low?
if not, please explain.

thanks
  • #169
  • Aug 21, 2009 3:07pm Aug 21, 2009 3:07pm
The random vs non random debate, another exercise in futility.

Those who can identify repeating patterns and exploit them obviously know they exist, period.
  • #170
  • Aug 21, 2009 3:15pm Aug 21, 2009 3:15pm
Quoting mikkom
I wonder - If I do all my trading through my algos without any human intervention as I have done since begin of this year, is my ego still in charge and luck involved?
unless you fiddled with the system in some way that was not part of the plan of how the system should be maintained the ego was not involved. (the maintainance could for example include a regular review and adjustment of parameters).

now to the luck... luck is just another word for uncertainty or randomness and randomness in the markets is always present to a very high degree.

Without knowing the details of your system and seeing detailed results it is impossible to say if your results have strong enough statistical significance that one could say with a certain confidence that your results are not just a product of "luck".

There is no such thing as 100% certainty when dealing with a nondeterministic system... you can only work with statistical term such as mean, variance, correlation, confidence intervals etc.

That also means that absolute claims (like "market is completely random" or "market is not random" or "system has an edge" or "there exist no profitable system") are meaningless, because they can't be proved, nor can they be refuted. We can only execute statistical test that show us how probable a theory is true or false but this probability never can be 100%. Ideally for such tests we should use very large sample counts so that the law of large numbers can work for us and we can look at the results with relatively high confidence.
I'm not insane; my mother had me tested.
  • #171
  • Aug 21, 2009 3:53pm Aug 21, 2009 3:53pm
Quoting pipmutt
The random vs non random debate, another exercise in futility.

Those who can identify repeating patterns and exploit them obviously know they exist, period.
I just heard from BigFoot, Santa Claus, and the Easter Bunny, and they all agree with Pipmutt. I am going to have to rethink all my research....

Kidding aside, I do respect what you are saying. It is obvious and that you are thoughtful and passionate about your trading. Just remember, those profits you are banking are comming from someone or some entity that is losing. I hope you can keep those tables turned in your direction.
  • #172
  • Aug 21, 2009 4:13pm Aug 21, 2009 4:13pm
Quoting pipmutt
my gain doesn't have to be another trader's loss.
it sure as hell isn't mine
I'm not insane; my mother had me tested.
  • #173
  • Aug 21, 2009 5:56pm Aug 21, 2009 5:56pm
Quoting mikkom
I wonder - If I do all my trading through my algos without any human intervention as I have done since begin of this year, is my ego still in charge and luck involved?

Here is an another link to scientific study related to this thread
http://www.buffalo.edu/news/10364

I think this is my last post to this thread unless Petra wants to comment the another study I posted link to (full text available online for free).
Ego, no.

Luck, yes.

If you can not control the outcome and the outcome is favorable that is "good luck".
If you only trade long, then you can't always be wrong.
  • #174
  • Aug 21, 2009 6:01pm Aug 21, 2009 6:01pm
Quoting pipmutt
The random vs non random debate, another exercise in futility.

Those who can identify repeating patterns and exploit them obviously know they exist, period.
Hi pipmutt:

It's a definition game. It's not a question of repeating patterns and exploitation, it is a question of whether or not the market is random. If pattern A always results in outcome B then it is not random. If only a probability exist that pattern A will have a result of outcome B then it is random.

Unless, of course, you want to change the definition of random.
If you only trade long, then you can't always be wrong.
  • #175
  • Aug 21, 2009 9:57pm Aug 21, 2009 9:57pm
Quoting FrankenPip
HI daytrading:

Please provide your definition of randomness because I do not think we are in agreement.
FrankenPip,

If you consider all human activity as random, then yes everything created by human has that element.
  • #176
  • Aug 21, 2009 11:14pm Aug 21, 2009 11:14pm
The first post was refreshing to read. The problem with the current methods that are used in finance is they do not work. Mandelbrot or Nassim Taleb will tell you that flat out. The statistics I have read, are without a doubt, proof, that gaussian based methods do not work.

Sure there are people who make big bucks but they are few just like with any casino. Every static system produced will fail with time. Even dynamic systems fail. The biggest problem is the tools we use (ie) moving averages, standard deviations, ect.

Wether the market is random or not, I would tend to lean towards there being memory in the market but also having an element of randomness at different times. I don't think anyone will ever be able to prove it or not but thats my observation.

The real challenge is for people to come up with new tools that can be used to function with the general pareto curve. That is the fractal in all this mess. Some how, some day, some bright individual will amaze us all but only after he has racked up an enormous fortune using his invented tools.
  • #177
  • Aug 22, 2009 12:17am Aug 22, 2009 12:17am
Quoting mrjtdude
The first post was refreshing to read. The problem with the current methods that are used in finance is they do not work. Mandelbrot or Nassim Taleb will tell you that flat out. The statistics I have read, are without a doubt, proof, that gaussian based methods do not work.

Sure there are people who make big bucks but they are few just like with any casino. Every static system produced will fail with time. Even dynamic systems fail. The biggest problem is the tools we use (ie) moving averages, standard deviations, ect.

Wether...
It is nice to see someone else has read, Taleb's work. Groundbreaking essays. Is there a chance you can explain randomness in a way the masses can understand?
  • #178
  • Aug 22, 2009 12:21am Aug 22, 2009 12:21am
Quoting pj9100
FrankenPip,

If you consider all human activity as random, then yes everything created by human has that element.
FrankenPip wanted to agree on what random means. He pointed out the difference between random and biased. We can take it a step further. A two-headed coin is biased and not random: 100% chance of heads. FrenkenPip's weighted coin is biased and random: 75% chance of heads.
  • #179
  • Aug 22, 2009 1:00am Aug 22, 2009 1:00am
Quoting gbppip
It is nice to see someone else has read, Taleb's work. Groundbreaking essays. Is there a chance you can explain randomness in a way the masses can understand?
Just google "brownian motion einstein" or "radioactive decay randomness".

Better yet view this video.
http://video.google.com/videoplay?do...+devaney&hl=en

Another good link.
http://math.bu.edu/people/bob/
  • #180
  • Aug 22, 2009 2:06am Aug 22, 2009 2:06am
Interesting that we have these fictitious claims about randomness when an adequate definition of randomness cannot be agreed upon by the smartest minds on this planet. It's even argued that randomness doesn't even exist.

If you can define it and prove its existence, congrats, you're guaranteed the next Nobel Prize Award. What are you doing here stroking your Ego on a public forum?!?!
2 traders viewing now