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  • #381
  • Nov 25, 2014 12:09pm Nov 25, 2014 12:09pm
Quoting stt
{quote} i am sorry that you dont appreciate me helping everyone improve their understanding of market and random events. FEZ clearly appreciated my post as i said in my post, i am not disputing the benefits of his method, just correcting his understanding of random events. I think if FEZ is sharing with us his methods without asking anything in return, it is our duty to help him improve his knowledge as well - thats why it is a forum and not some one way lecture where there is no discussion allowed. He will be a better trader if he looks at things...
Many green pips to you.
  • #382
  • Nov 25, 2014 12:12pm Nov 25, 2014 12:12pm
I think MKFX was worried that us getting very far into the weeds would eventually cause Fezmar to disappear. After all, he has a method that works *extremely* well for him and he is being gracious enough to share it with us.

I know that I for one suffer the problem of always trying to be "right," and Fezmar's insights remind me that I need to check my ego at the door. Reminds me of what a saying from salesmanship: "Do you want to be right, or do you want to get paid?"
  • #383
  • Edited 12:40pm Nov 25, 2014 12:14pm | Edited 12:40pm
Quoting fezmar
These are very interesting results. I humbly apologise for my incorrect use of maths, I was not trying to fool anyone but up until today I truly believed that this would work in a random market as well. Thankyou for opening my eyes. I guess we are now left with two options to believe a) The markets are not in fact random b) The entirety of my success is actually built upon luck An interesting thing to ponder over. Fez
No need to apologize. clearly your response shows your true character - humble and honest (to others and yourself). This personality trait goes a long way in achieving success.

as for your profitability, both the reasons you said are factor for sure. Markets are not truely random - there are trends that your trade management method will benefit from. Also some luck.

but you got to give lot more credit to yourself - One key factor for your success is your entries and exits. You are very humble in saying your entries are simple entries on pull back but I can bet your entries are excellent. You would make money even if you were doing scalping (you do have this realization as well as you said - most likely you would be successful in scalping too). Also i think you exits have good timing too but since i have not seen your entries and exits i cannot prove it (if you want you can do this analysis by seeing what is the expectancy of your entries for different TP/SL levels - say 10 pips loss, 10 pips tp etc).

Give yourself more credit for your trading skills and do not think it is just the trade management method. while the trends that we have seen since summer (EUR, JPY etc) gave a lot of tail wind, it is really the entry and exit that are key to your success.
Think : Trade : Live Life
  • #384
  • Nov 25, 2014 12:16pm Nov 25, 2014 12:16pm
Quoting fezmar
These are very interesting results. I humbly apologise for my incorrect use of maths, I was not trying to fool anyone but up until today I truly believed that this would work in a random market as well. Thankyou for opening my eyes. I guess we are now left with two options to believe a) The markets are not in fact random b) The entirety of my success is actually built upon luck An interesting thing to ponder over. Fez
It's the contrary, I believe the basic math calculus is nearly (almost!) correct, I just would like to put focus on the fact that you are a very good trader as well for your entries, as they cannot be "that randomly taken" - and in fact, you humbly and beautifully presented your system saying that you enter with on LTFs with S/R (or some other analysis). Hence, the "goodness" of entries are still a bit important, they are not the crucial point of your success and they are not the basics of this system though.

I apologize if you felt insulted by my explanation before, English is not my native language, I may have expressed myself not in the best way.

I will read carefully what PipmeUp and the other users wrote later tonight.
laters.
Lorenzo
  • #385
  • Nov 25, 2014 12:22pm Nov 25, 2014 12:22pm
Quote
i think the guassian # you are adding has very low volatility. increase the volatility by factor of 10 or 100 then see.
Sure enough. But I posted in another thread that the volatility of the trend is way smaller than the volatility of the price. And the
volatility of the change of the trend is itself again much smaller than the one of the trend. So the trends are pretty stable. I also
posted that the trends (or sideway) of the real market are more stable then iid randomly generated.

This answer Fez's question that it is neither a) nor b). Actually brokers' stats show that retails traders enter in the correct direction
in 60% or the cases. Much better than random guess. So why do they lose? Their loss are twice bigger than their gains.

Sorry to bother MKFXTrader. But we are absolutely not trying to prove Fez wrong. It is actually the very opposite. That's the first time I can prove a system RIGHT. And we perfectly understand the methodology. I'm also trying on a demo account and it works. I works even better than expected given the numerous SL hit and that not a single trade was willingly closed so now (as it is not supposed to happen before at least 2-3 weeks).
BTW to me K.I.S.S = naive solution to a problem you don't understand.
No greed. No fear. Just maths.
  • #386
  • Nov 25, 2014 1:14pm Nov 25, 2014 1:14pm
  •  sym
  • Joined Apr 2011 | Status: Working... (too much) :) | 356 Posts
Quoting lorbax
{quote}... you are a very good trader as well for your entries, as they cannot be "that randomly taken"
I did some BT with an EA and totaly agree with you.
Entries CAN'T be ramdomly taken.
The key points are MM and good/precise entries !!!
--- nothing to say ---
  • #387
  • Nov 25, 2014 1:14pm Nov 25, 2014 1:14pm
Fez, what would be you entry method( I know it is not important, just that I can move the stop to BE) if you couldn`t trade 5 min charts or even 1h ones,- let`s say only the 4h. Thank you for your bright mind and kind heart.
  • #388
  • Nov 25, 2014 1:19pm Nov 25, 2014 1:19pm
Quoting MKFXTrader
I'm getting the sense that I'm starting to read someones math thesis. What started out as an interesting MM thread that I myself subscribed to and employ in my own personal trading, is being turned into someone's dissertation of their math thesis. It also bothers me that a few members would rather point out mistakes in Fez's examples rather then try to understand what Fez is actually trying to illustrate. Is it possible that these posters have ever heard of the term K.I.S.S? Let Fez further the discussion and share in his explanation and what he...
  • #389
  • Nov 25, 2014 1:22pm Nov 25, 2014 1:22pm
Also I think it is important for the learners we are to understand the nuts and bolts of the method. Those boring maths have shown important points:
- The method works.
- You can't enter flipping a coin.
- You cannot compound as much as with a small RR system with equivalent expectancy. Yet this equivalent system is yet to be seen.
- In theory it outperforms a great intraday system like winrate=55% RR=2 by a factor 2.5
- 1% MM per position is way too high.
- With 0.5% per position the small size of each of the positions is such that it is almost impossible to go bankrupt. Yet we are talking risky assets trading!
- Positions taken in the direction of the price movement (short term trend) have statistically better than 50% chance of being locked at BE rather than stopped in loss.
- 35 out of 1000 trades that go to 300 pips are enough to grow decently your account.

And this thread was born last week-end!
No greed. No fear. Just maths.
  • #390
  • Nov 25, 2014 1:22pm Nov 25, 2014 1:22pm
Quoting Saintsurfer
Fez, what would be you entry method( I know it is not important, just that I can move the stop to BE) if you couldn`t trade 5 min charts or even 1h ones,- let`s say only the 4h. Thank you for your bright mind and kind heart.
This would be difficult, due to the fact that I really on a tight stop and so large risk:rewards are (relatively) easy to obtain.

But on the H4 one would probably require something like a 20 pip stop at minimum.

Fez
  • #391
  • Nov 25, 2014 1:23pm Nov 25, 2014 1:23pm
Quoting joelmusicman
{quote} It is extremely interesting, and if Spyder's EA can prove that randomness is even "almost as good" as your manual order placement
I want to be clear on my TE. The entries aren't random, they're an MA cross on the 15M tf. So I am entering with a certain amount of momentum. FYI
  • #392
  • Nov 25, 2014 1:25pm Nov 25, 2014 1:25pm
Quoting PipMeUp
Also I think it is important for the learners we are to understand the nuts and bolts of the method. Those boring maths have shown important points: - The method works. - You can't enter flipping a coin. - You cannot compound as much as with a small RR system with equivalent expectancy. Yet this equivalent system is yet to be seen. - In theory it outperforms a great intraday system like winrate=55% RR=2 by a factor 2.5 - 1% MM per position is way too high. - With 0.5% per position the small size of each of the positions is such that it is almost...
Beautifully laid out.

I am simply sharing what has worked for me without much scientific/mathematical proof behind why it works as it does. I attempted to prove this and failed, but you and others have stepped in and taken the time to correct me.

These points are all excellent, and I hope they clarify any particular areas that I may have been vague on.

I thank you for your continued presence in this thread.

Fez
  • #393
  • Nov 25, 2014 1:28pm Nov 25, 2014 1:28pm
Quoting spyderman
{quote} I want to be clear on my TE. The entries aren't random, they're an MA cross on the 15M tf. So I am entering with a certain amount of momentum. FYI

It is very encouraging to see that even in this baby stage of your account you are already in positive territory. Of course I will not at all be surprised if this drops significantly soon and more trades are taken out at breakeven; alas such is this method.

Rest assured that, by the same principle that I myself am operating on, this account should do very well in the next few months, even if no huge trends on the weekly show up.

Fez
  • #394
  • Edited 1:54pm Nov 25, 2014 1:33pm | Edited 1:54pm

  1. [quote=PipMeUp;7899054]lorbax here is a picture of what I mean. Both are randomly generated but the mean is slowly and randomly changing in the second one. Even if it is completely random they have a real trend (not a spurious one). Actually two. I don't mean the market is flipping coins I say that all the events in the world that make people bullish or bearish happen more or less "randomly". Because we can't forecast them and they tend to cancel or reinforce each other in some unknown way. For this experiment I kept the variance (=volatility) constant. Of course in real...[/quote]


Ok - I didn't have enough knowledge in this, thank you for the explanation.

So, let's make the point: markets are not random 'random' - if so, random 'random' entries would have brought to Expected profit of = 0 (not couting fees).
Hence we have basically 3 statistical conclusions:

  1. we need a decent 'goodness' of whichever entry method, sufficient to bring in in BE a good % of trades, say around 50% at least.
  2. markets are biased by a trend - so the expected value mu is not always (and almost never) 0 , the bias is the trend.
  3. We need to find the optimal X amount of pips for our entry strategy that optimizes the number of stopped-out trades (in loss) , the number of trades that are possible to put to BE (keeping a 1:1 ratio) , and the number of surviving trades and run...

Question (1) for FEZ:
Fez, have you ever tried different combinations of X amount of SL ? I'll explain better, because I find this extremely interesting: if I'm not a sniper in my entries (following my whatever method) I notice that if I keep my SL:5, it gets hit quickly, but on the other hand, when I'm say +6 in profit, I can set my SL to BE+1 (for the spread) and can forget about it, my hypothetical target being R= 1:20 --> TP=150... which is very reasonable (almost too tight for the lung runs). With this you end up with a certain statistics ... let's called it PROFIT_A (in a certain fix amount of time)

On the contrary, If i set my SL=10, i get hit a bit less frequently, but my losses are bigger, and it's a bit more difficult to reach the threshold of say +11, to put my SL to BE+1, on the other hand, PA is a farther from the SL and it has a bit more chances to survive. --> let's call it PROFIT_B
We can assume, the results of these PROFIT_(A,B,C,....Z) are somehow dependant (a function) of the SL size mostly, and secondly of the R:R ratio. (keeping as fix our entries methodology)

How are they dependant ? did you find your 'X' optimal point for different pairs, or you simply use SL=5 for all ?

Question (2) for FEZ:
Directly linked to the above question: is the R:R ratio something the you really take into account, such as closing your trades when they 'get-back' under a certain R:R ratio - let's say you reached 200 pips with a trade which survived a SL=5 so it's a 1:40 in that moment - Would you set a 'minimum' level for which you keep the position alive ? - Let's imagine market goes against you and you reach 150 pips... which is now 1:30.
So, the manual closes depends 'on your feelings' when you feel comfortable with the amount of money, or you try to stick to a rule of a number ?

Thank you very much in advance.
regards

Lorenzo
  • #395
  • Nov 25, 2014 1:40pm Nov 25, 2014 1:40pm
Quoting lorbax
{quote} Ok - I didn't have enough knowledge in this, thank you for the explanation. So, let's make the point: markets are not random 'random' - if so, random 'random' entries would have brought to Expected profit of = 0 (not couting fees). Hence we have basically two statistical conclusions: we need a decent 'goodness' of whichever entry method, sufficient to bring in in BE a good % of trades, say more than 40% the bias of the markets, which are not random, but trendy - biased by the trend We need to find the optimal X amount of pips for our entry...
Thankyou for your questions

1) I cannot say I have ever tried another stoploss size, with this method anyway. It has been what worked for me and I have the "If it ain't broke" mentality. Call me naive but I've just stuck with what has worked, without bothering too much with attempting to improve it any further.

2) I do not place a huge amount of importance on a specific risk:reward, I explained in another post that I usually see how many losses it took to establish that position (counting breakevens as losses) and then multiply that by a factor of 2, i.e if it took me 20 entries to get this good one to "stick", I would have a -rough- target of 20*6*2 = 240 pips for this position. Very arbitrary I know.

Fez
  • #396
  • Nov 25, 2014 1:55pm Nov 25, 2014 1:55pm
Quoting lorbax
we need a decent 'goodness' of whichever entry method, sufficient to bring in in BE a good % of trades, say more than 40%
I would even go as far as telling that "guts feeling" entry should do. But I share with the others the sentiment that Fez's entries are not at all just "good enough". I did make Graeme's challenge of the millipede thread (yes this training works!). Yet I'm demoing this idea and I was pushed to using a 10 pip stop for now. (Usually my SL is more in the 30-50 pips.) I'm very bad at entries below 1h TF.
No greed. No fear. Just maths.
  • #397
  • Nov 25, 2014 1:58pm Nov 25, 2014 1:58pm
Quoting PipMeUp
In theory it outperforms a great intraday system like winrate=55% RR=2 by a factor 2.5
Hi, PipMeUp!

Could you, please, explain a bit more about this point? Which exactly statistic of Fez's method did you use to make this conclusion?

Thank you in advance!

Artem
Let's go with the flow
  • #398
  • Nov 25, 2014 2:06pm Nov 25, 2014 2:06pm
Quoting fezmar
{quote} Thankyou for your questions 1) I cannot say I have ever tried another stoploss size, with this method anyway. It has been what worked for me and I have the "If it ain't broke" mentality. Call me naive but I've just stuck with what has worked, without bothering too much with attempting to improve it any further. 2) I do not place a huge amount of importance on a specific risk:reward, I explained in another post that I usually see how many losses it took to establish that position (counting breakevens as losses) and then multiply that by a...
Thank you,
I really appreciate the constant and humble support you provide. I like the arbitrary part of the trading, economy is not a pure scientific subject, but more a social/humanistic one.

I have an extra question for you if you don't mind, connected to your reply - when it comes the time the main trend starts to reverse and you notice some winners getting back to BE, you said you decide to 'cash-in' some positions, maybe 2-3 or 4, out of 5 (hypothesis!) and this I believe it's the crucial point, different from other milliped schemes ... do you:

  1. start cashing the old big ones ?
  2. start cashing the last small ones ?
  3. count what you need (in your example 240 pips) and take some out arbitrary that sum up to 240 circa ?
  4. close half or portions of positions ?

I completely understand that all this infos are arbitrary and are somehow irrelevant with the main logic of the system, and I really wish not to be a copy-cat, I'm simply curious to know how you do to take 'inspiration' from your work.

Thank you once again....
best.

Lorenzo
  • #399
  • Nov 25, 2014 2:25pm Nov 25, 2014 2:25pm
Many thanks for your contribution Fez.

I think you told us enough and the rest is on traders. Going to train your approach.

Good job mate.

Thanks a lot again.

Wish you the best of luck!
Lose small, win BIG
  • #400
  • Nov 25, 2014 2:28pm Nov 25, 2014 2:28pm
I believe market makers trade like this, maybe im wrong? they open trades in both direction and around whole numbers and profit as it goes up and down. thanks for the thread.
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