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How many trades until a system is proven, not just lucky?

  • #41
  • Jan 9, 2014 8:56pm Jan 9, 2014 8:56pm
Quoting Proximus
If your system works on D1 it should work on M5 too, not identically showing the same results, but since the market is fractal-like, it should be somewhat similar.



The only thing that changes between time frames are the ranges.
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  • #42
  • Edited 11:14pm Jan 9, 2014 10:43pm | Edited 11:14pm
Quoting FXEZ
{quote}To those posting that 5000 or 10000 trades are necessary, given the assumptions in this post, 1000 trades provides a very high degree of confidence, and somewhere between 1000 and 2000 trades the probabilities hit the asymptote, meaning you have a near certain statistical confidence that your win% will be very close to the backtest. So increasing the trade count above 2000 doesn't give any more confidence from a statistical standpoint than 2000 trades (because maximum statistical confidence has already been reached). But as a caveat, I've...
This is very good to know. I'll be honest and say I really didn't think too much about the 10,000 trade number, but I was thinking several thousand trades per market for the 5 different markets. It would appear if you divide the 10,000 trades by 5 markets you get 2000 trades per market, which is at the high end of your 1000-2000 trade number. I'm more of a discretionary trader (not sure if I can call myself a trader), but it is good to know that after 2000 trades the difference becomes fairly insignificant.

Also, you bring up a great point that the backtest has to be pure without any over / curve fitting of the trades.

Thank You,
LVG
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  • #43
  • Jan 10, 2014 7:16am Jan 10, 2014 7:16am
Quoting 2+2=4ex
A system can produce major profit one year and then fail miserably the next year. It doesn't make the system good or bad. Most "systems" fall into one of two categories = trend or range. Therefore the goal of a trader should not be to find a system. It should be to manage their trades in a way that more profit is produced than loss in a consistent manner and in accordance with current and changing market conditions.
Hi 2+2=4ex
Thank you for your advice. I never thought about this before: "Therefore the goal of a trader should not be to find a system. It should be to manage their trades in a way that more profit is produced than loss in a consistent manner and in accordance with current and changing market conditions". When you said that managing the trades were more important than finding a system, were you referring to money management? Can you please explain more or tell me where I can learn more about this?
Thank you.
  • #44
  • Last Post: Jan 10, 2014 5:06pm Jan 10, 2014 5:06pm
Quoting Ryukenden
{quote} Hi 2+2=4ex Thank you for your advice. I never thought about this before: "Therefore the goal of a trader should not be to find a system. It should be to manage their trades in a way that more profit is produced than loss in a consistent manner and in accordance with current and changing market conditions". When you said that managing the trades were more important than finding a system, were you referring to money management? Can you please explain more or tell me where I can learn more about this? Thank you.
I am not referring to money management in the sense of how much to risk: x% per trade, for example. I am referring to which instrument to trade (expose yourself to) and when.
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