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Did Martingale work for someone?

  • #21
  • Jul 27, 2011 4:08pm Jul 27, 2011 4:08pm
martingale is all abuot preciseness , in an aspect. not to be focused on lot sizes but to be precise on order entry decissions.
the best indicator is trader's knowledge , experience and dicipline.
  • #22
  • Jul 27, 2011 4:13pm Jul 27, 2011 4:13pm
Not martingaling fully, but averaging down as the market moves against me, compared to just running a tight SL boosts my win % nicely.
Nothing to it, but to do it!!! Stick to the plan FOOL!!!!
  • #23
  • Jul 30, 2011 11:14pm Jul 30, 2011 11:14pm
martingale. Impossible. Temporarily you will be up, but the market will get you at some point, hedge/double, reverse, whatever. Not worth the time to study. . There are quite a few out there like blessing but be careful. There is a death trade in all of these. Survivability can last 1 week or 5 years. It seems to go about 4-6 months on average though.
  • #24
  • Edited 3:56am Jul 31, 2011 3:45am | Edited 3:56am
Main problem with progression is that you are mounting your losses without mounting your profit. Eventually sooner or later you end up risking 100% of your money to gain 1% profit. It has to not only ruin your wallet but your mental health as well.

The problem is we (humans) are not really wired to intuitively get how probability and statistics work.
We tend to think: well if I have 50% chance of winning every time I play it just near to impossible to lose 10 times in a row, right? Actually the chance to lose a series of 10 coin tosses is around 1/10000, so pretty slim. But we forget that that is true only for one series of coin tosses. If we kept on tossing all the time we will be surprise how soon we will encounter 10 tails or heads in a row.

On another note (hope it's not to much of an off topic):
Have anyone tried some type of Fibonacci progression for trading?
I am not at all certain it would be better in terms of profitability but it surely should keep you from bankrupting a little longer
  • #25
  • Jul 31, 2011 4:31am Jul 31, 2011 4:31am
Quoting Giansar
Main problem with progression is that you are mounting your losses without mounting your profit. Eventually sooner or later you end up risking 100% of your money to gain 1% profit. It has to not only ruin your wallet but your mental health as well.
martingale is clearly playing with nuclear weapons as though they are toys. that aside...

this isn't roulette. who says you are risking n times r units to gain only 1 times r units? if you cap a take profit on your trades then you have bounded the potential profits so then, yes, it becomes just like roulette, horse racing, a coin flip, and so on just like any other 'game' that has a bounded beginning and end point... but what's the old saying about letting profits run?

i've never understood why anyone would end a perfectly good trade instead of giving it a little room to possibly rocket into larger profits. each trade may only have an expected amount of pip movement in one direction, but that doesn't mean it won't do something unexpected and continue moving in one direction further than usual (however you choose to define and put values on 'expected' and 'usual'). my own thoughts are that when you give a trade 'wiggle room' to continue you will either have price move on you and hit your stop, losing you that chunk of 'wiggle room', or it will continue to produce further profits until finally moving back on you too far and hitting a stop and finally ending... and from this i suspect that the times you receive further profits perhaps only balance-out the times the price didn't continue in your favour from the start and cost you that initial 'wiggle room'. this is only a thought.

you sound like perhaps you have a math head, so i'm curious what your take on what i just said is.
Congratulations ScalaFX for coming out of the closet!
  • #26
  • Jul 31, 2011 4:59am Jul 31, 2011 4:59am
Quoting nubcake
so i'm curious what your take on what i just said is.
What you described sound like an attempt to incorporate actual trading knowledge and experience and with it some reason and common sense into trading using martingale. And it of course has a lot of merit.
Problem with it for me is that I wouldn't know how to make a simulation of that. It's very easy to make a simulation of martingale for roulette and show any potential gambler how stupid of him to think it gives him any edge over the house.
But if you are a trader that already have an edge over the market and can rip some pips it's not so trivial to find out how to combine it with progression and simulate.
The stuff I was doing when playing with it and making some probability calculations was actually pretty basic but unfortunately I haven't got time now to go into it - I am sitting on suitcases getting ready to leave for my vacation. I'm really sorry.
The topic is quite interesting though so if you are willing to discuss it further I will be back in a week and we can continue then.
  • #27
  • Edited 5:46am Jul 31, 2011 5:32am | Edited 5:46am
Quoting Giansar
What you described sound like an attempt to incorporate actual trading knowledge and experience and with it some reason and common sense into trading using martingale. And it of course has a lot of merit.
lol. that almost sounds like a bad thing... but only because this place is so backwards most of the time.

Quote
Problem with it for me is that I wouldn't know how to make a simulation of that. It's very easy to make a simulation of martingale for roulette and show any potential gambler how stupid of him to think it gives him any edge over the house.
But if you are a trader that already have an edge over the market and can rip some pips it's not so trivial to find out how to combine it with progression and simulate.
i suppose it can only come down to running the trades as per your edge to get a decent sample of trades, gaining the appropriate metrics, and then working it into these results. for myself, a particular metric value of 33% is of significance to me and keeps reoccurring without fail . sometimes it's a little more, sometimes a little less, but usually over time returns to this value. interestingly, this number sits right where i expect it to when considering some of the things crucialpoint has written about in the past, but i could be creating associations where there is none.

Quote
The stuff I was doing when playing with it and making some probability calculations was actually pretty basic but unfortunately I haven't got time now to go into it - I am sitting on suitcases getting ready to leave for my vacation. I'm really sorry.
The topic is quite interesting though so if you are willing to discuss it further I will be back in a week and we can continue then.
cool cool. you probably have math knowledge above my own so it's likely all wasted on me anyway.

also, i suspect you might be looking into areas similar to myself... that being, risk of ruin is where the focus should be, but generally isn't, and creating a trading framework around this is where the party is at.
Congratulations ScalaFX for coming out of the closet!
  • #28
  • Aug 8, 2011 10:53am Aug 8, 2011 10:53am
Ok, I am back and rested

As to my playing with application of progression to different kinds of games.
I'll repeat myself but it is only because I am afraid you will be disappointed by what I have to say - the work I've done is really pretty basic stuff.
I started with pure games of chance because that is the easiest. I picked roulette because probability distribution is very straight forward and the game is extremely simple despite the illusion of complexity and multiple choices, which is created by the array of different field on the table.
I also decided on the simplest betting style – colors/odd-even/lower half-upper half because ultimately the chance of winning is always the same – offset towards the house by the green zero.
On the roulette with one zero the chance of winning a single turn when betting for example colors is roughly 48,6 % (37/18*100%), which shows you immediately that fat betting will get you nowhere.

Now. Can progression get you anywhere?
Let’s see what are the chances of a streak (black, red, etc, in a row – always counting in 0)
It’s in rough numbers
Series of 10: 1 / 1 000
Series of 20: 1 / 2 500 000

So. If you’d like to make your living like that, earning let’s say 200 bucks a day, betting 200 days a year for 40 years, spinning the wheel, let’s say, 10 times each “session” (day) you’ d make 80 000 spins during your life time. With capital securing a losing streak of 20 you’d have roughly 97% chance of getting through to your retirement without bankrupting.
Which may seem pretty fine, but…
In order to secure the modest $40 000 yearly income, you will have to place, rounding the amount down, a bet of $40 on each of your spins.
To cover for a losing streak of 20 with that betting amount, you’d need a capital of over $20 000 000 from day one.
The question is: would you go to a casino everyday to win a poultry $200 if you had $20 000 000 in your account?
All above is of course just an academic presentation because casinos cap the amount of money you can bet each time so you are unable to built such an elaborate progression pyramid.
They like to make sure they’re the ones that win every time

Enough of that though.
The above presentation was solely for the purpose of showing that progression does not give you an edge.
The real question is: is there a sense to apply progression to a game, in which you already have an edge?
In other words: Is progression able to increase my profits (reliably and reasonably) without increasing my risk (too much)?

I will try to write about it some more tonight (GMT+1) if my kids go to bet politely or tomorrow if they give me hell instead
I have to say from the start though that I haven't got even close to any definite conclusion in this regard.
  • #29
  • Aug 8, 2011 11:08am Aug 8, 2011 11:08am
without knowing the statistics myself.... that all SOUNDS right.

now, being that someone who has a really shitty negative expectancy in trading is probably going to blow up quite fantastically so can't be helped. but someone who is breakeven or perhaps very mildly on the negative expectancy side of things might have a shot if they take into consideration risk of ruin as their focus.

as previously mentioned, trading doesn't have defined start and end points. a trader or their account defines this. taking the obvious example of risk versus reward, you can risk 1 unit with the 'hope' of gaining greater than 1 unit... and further to that you can trail a stoploss until you finally get taken out for some degree of profit if the market moved in your favor.

i absolutely hate the idea of doing this, but if a trader makes progressive bets then they have not only a chance of breaking even, they have the opportunity of hitting a black swan which goes in their favor and carries the n'th degree of progression trade into stratospheric profits... simply because a trailing stoploss allows the market to keep moving further in ones favor.

taking that idea, you can then start to get some idea of your general winning percentage and adapt the progression to this number. if you win roughly 20% of the time and are roughly breakeven overall and getting nowhere then the way i see it is that after 3 or 4 failed trades it might be worthwhile upping the trade size in anticipation of the eventual winner.... keeping in mind that this winner has every possibility of being a runner that goes further than the market normally goes.

but again, you are still digging yourself a deeper and deeper hole that you might not actually get out of no matter how you look at it. it's FAR better to have a positive expectancy and simply trade well for profits than to try to game the risk of ruin aspect of trading.
Congratulations ScalaFX for coming out of the closet!
  • #30
  • Aug 10, 2011 12:46am Aug 10, 2011 12:46am
The Martingale Strategy has a 100% success rate, if your pockets are deep enough. Probability states that you'll eventually make a winning trade and, if you keep doubling your trade sizes, that win will be enough to compensate for all the previous losses.

However, if you run out of capital before you reach that winning trade then you'll probably be facing a margin call.

As my pockets aren't limitless (shame about that), it's not one of the strategies I use
  • #31
  • Aug 10, 2011 4:29pm Aug 10, 2011 4:29pm
Arghh, I am really sorry to be replying so intermittently. I've got kids all over me at home all the time and at work I'm taking a scrum training now, so I hardly have a chance to sit at my workstation.
Quoting nubcake
as previously mentioned, trading doesn't have defined start and end points. a trader or their account defines this. taking the obvious example of risk versus reward, you can risk 1 unit with the 'hope' of gaining greater than 1 unit... and further to that you can trail a stoploss until you finally get taken out for some degree of profit if the market moved in your favor.

i absolutely hate the idea of doing this, but if a trader makes progressive bets then they have not only a chance of breaking even, they have the opportunity of hitting a black...
You are of course course absolutely right. And the kind of stuff you wrote about is exactly what leaves me clueless as to how to even begin to calculate progression odds for forex transactions.
It is all so discretionary. How can one put it into mathematic formulae?
1. Undefined and fluid risk reward ratio is one thing.
2. Still another thing is cherry-picking (I'm not entirely sure that it is the correct expression in English) your trades by which I mean the tendency to apply more and more strict conditions while selecting trading setups as you're getting up your progression ladder. It is only natural that your will pick higher and higher probability setups as your loosing streak lengthens when using progression. But how to make math of it?
3. Another thing that frankly makes me want to kill myself when I start thinking about it too much is the tendency of your strategy to generate streaks - loosing and winning. Because this also varies between different strategies. Some are more prone to generate streaks than others. But again: how to make a mathematical formula out of it.

The only solution I have achieved so far is to take this on in a purely empirical manner. So: trade using a tested and well defined strategy consistently over a period of time, generating at least several hundred trades, preferably at least several thousand trades. Derive relevant statistical information from the trades you made and then try to calculate if a progression can be used to improve your profits and if so how and what kind of progression, because martingale is not the only one.
To be honest, when I consider using progression for trading in the future (when I decide that I can finally trade for real) I am thinking more of Fibonacci than martingale. But there are no calculations behind it... yet.

PS: I do hope my English is bearable in these elaborations of mine.
  • #32
  • Aug 10, 2011 5:42pm Aug 10, 2011 5:42pm
"Markets can stay irrational longer than an investor can stay in."

Martingale works until that eventual bust. So the only way to be profitable is the short-term hit it and quit it.
  • #33
  • Aug 10, 2011 10:19pm Aug 10, 2011 10:19pm
Quoting nanningbob
Martingale has one major problem that cannot be solved. What ever you set it at it will have a limited range it can cover. For example if you have 7 levels your account can handle and the reentry is 100 pips, if the market moves over 800 against you and stays that way then you are screwed. No matter where you set your range sooner or later the market will exceed it. So no matter how you set a martingale system up it will have a limited range and sooner or later the market will beat that range. That is why they fail. The only way you can make one...
Man...nobody could explain this clearer than you sir

Martingale works for some conditions, not in every market conditions. The flaws in Martingale occur when you lost your consciousness to see the current market condition because you have placed so much in a pair, and afraid of loosing too much on that pair, that's why when the trend has changed obviously you still bet against it.

My advice is to divide your account by trading multiple pairs, and do not place all your money in a pair. You can trade safely with martingale by dividing your current account balance into for example 5 pairs, then for each pair you estimate the maximum ranges you can cover. Remember : martingale is not a guarantee you won't loss, you are allowed to take any losses adjusted with current market condition. Martingale is about getting better price for your positions, it doesn't mean you will never lose. Martingale gives you lots of edges if being compared to the one way in and out strategies.
  • #34
  • Aug 11, 2011 3:47am Aug 11, 2011 3:47am
Quoting Giansar
Arghh, I am really sorry to be replying so intermittently. I've got kids all over me at home all the time and at work I'm taking a scrum training now, so I hardly have a chance to sit at my workstation.

You are of course course absolutely right. And the kind of stuff you wrote about is exactly what leaves me clueless as to how to even begin to calculate progression odds for forex transactions.
It is all so discretionary. How can one put it into mathematic formulae?
1. Undefined and fluid risk reward ratio is one thing.
2. Still another thing is...
you have pretty much covered it all well. bottom line is it's still digging yourself a hole that you might not be able to get out of. taking things like streaks of wins and losses, and then realizing you can also get streaks of breakevens before your stats show a large tendency towards a negative expectancy is another trap.

in the end positive expectancy through proper trading is better than trying to game the risk of ruin aspect. otherwise, you need a big wad of cash to burn and the ability to not care that it's probably going to all disappear on a bad streak that doesn't even come good.

the thing is, if loading up on a progression and it finally happens to pull you back to the previous equity high and more you haven't actually gained much... it might be a large amount of money in that perspective, but in terms of the progression you have only gained whatever R amount for that level of progression. so if you ever get a progression that hits this same level again you don't really have any buffer... the only buffer you have is how far you have left to go before blowing-up, which is still the same problem as when you start a progression.

it's no way to get ahead, that's for sure. unless you have a positive expectancy to start with then you could go for broke and blaze a small amount into a bigger amount and take the risk with at least a chance of getting somewhere worthwhile... but it's no long-term strategy for survival.
Congratulations ScalaFX for coming out of the closet!
  • #35
  • Aug 11, 2011 11:37am Aug 11, 2011 11:37am
Martingale works if you have an unlimited bankroll
  • #36
  • Aug 12, 2011 6:17pm Aug 12, 2011 6:17pm
Hi again,

I'd like to point out yet another issue in the topic of martingale (and all other progression types for that matter).
You must remember that I am a newbie on forex s you have to bear with me if I am ignorant of some basic stuff.
From what you wrote I understood that traders use the traders tend to trade against the general market trend while using martingale in a hope that the market will eventually reverse because "it always does" and a single reversal move is enough to erase the entire martingale pyramid and bing the long awaited profit.
I have to say that for me this approach is utter lunacy. Putting aside the fact that there's always a chance (and it is usually much higher that you would expect) that the market will go the wrong way this one step too far for your capital, the whole mind setup reminds me of these roulette gamblers that assume that there is a 99% chance of red on the next spin because the last 10 spins resulted in black.
When I considered using martingale for trading my thinking was more along the lines of (only an example):
- I have a strategy
- My strategy has generally risk reward ratio of 1:1
- My strategy gives me four types of setups, which according to my statistical calculations have the following probabilities: Type D: 55%, Type C: 60%, Type B: 70%, Type A: 80%.
Of course the type D setup is the most common and the type A is the rarest.
Now, initially I would take all the setups.
After 1 loosing trade I would only look for setups A to C
After 2 loosing trades I would only look for setups A and B
After 3 and more loosing trades I would only look for setups A in order to reduce the length of occurring loosing streak.
  • #37
  • Aug 12, 2011 6:58pm Aug 12, 2011 6:58pm
One of the best ways to use Martingale is to use it as the mm method in your system backtest. Then find a period where it kicks butt, take a screenshot, and then use that as the proof of how awesome the system is and then hawk it on ebay.
  • #38
  • Aug 13, 2011 1:36am Aug 13, 2011 1:36am
Quoting Giansar
Hi again,

I'd like to point out yet another issue in the topic of martingale (and all other progression types for that matter).
You must remember that I am a newbie on forex s you have to bear with me if I am ignorant of some basic stuff.
From what you wrote I understood that traders use the traders tend to trade against the general market trend while using martingale in a hope that the market will eventually reverse because "it always does" and a single reversal move is enough to erase the entire martingale pyramid and bing the long awaited...
the first part of your post is talking about grid trading. that's one place that martingale is used to stay afloat until the inevitable bad run where price moves too far in one direction if the grid is anti-trend trading, or price moves in a range for too long if the grid is breakout trading.

it doesn't have to be about grid trading. i would imagine most people don't look at the market as simply a grid. they try to find some pattern/signal to either buy, sell, or perhaps even stay out for some time. this doesn't have to be a grid and can be purely some perception of a particular price pattern potentially moving some distance from some point.
Congratulations ScalaFX for coming out of the closet!
  • #39
  • Edited 6:23am May 7, 2014 5:51am | Edited 6:23am
Quoting nubcake
{quote} the first part of your post is talking about grid trading. that's one place that martingale is used to stay afloat until the inevitable bad run where price moves too far in one direction if the grid is anti-trend trading, or price moves in a range for too long if the grid is breakout trading. it doesn't have to be about grid trading. i would imagine most people don't look at the market as simply a grid. they try to find some pattern/signal to either buy, sell, or perhaps even stay out for some time. this doesn't have to be a grid and can...


any people trading in martingle please contact me, I am convinced that's the best strategy to trade
  • #40
  • May 14, 2014 7:21pm May 14, 2014 7:21pm
Does martingale strategy work?

Answer: NO.

move on...
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