Yes, because they are no longer independent unless these pairs have 0 correlation. p/s: if you can prove that you have 97% winrate system (and R:R = 1) without using martingale or average down technique, I will happily to teach you how to get rich ...

Chance of Consecutive Losses

Yes I agree that this will not help in making money, but it does help not to dig further when you are in a hole. Traders always make a basic assumption that our future win% will always fluctuate around historical win%. But how do we know that the ...

Chance of Consecutive Losses

I bet that you never checked the link at post #2, isn't it? Nevermind I figure out another simple explanation for those who do not know how to use binomial distribution. In your example, there are 4 possible cases at every 2 trades. It is either: ...

Chance of Consecutive Losses

With 97% win rate, the probability to encounter at least 1 time of 2 consecutive losses is: 1. 0.8% for 10 trades. 2. 8.5% for 100 trades. 3. 36.2% for 500 trades. 4. 59.3% for 1000 trades. With 97% win rate, the probability to encounter 2 losses in ...

Chance of Consecutive Losses

N = log(1-DC) / log(1-PW) => N x Log(1-PW) = log(1-DC) => (1-PW)^N = 1-DC This is no difference than how OP and most people calculate the chance of consecutive losses. It is just the way you present it in different way (same with acrary). Btw market ...

Chance of Consecutive Losses

Do you have any idea where can I find the source or derivation of this formula? I think this could be a quick approximation method because it seems that the N consecutive losses is underestimated.

Chance of Consecutive Losses

It is risk adjusted returns that matter. Returns itself has no meaning for comparison, it is only good for advertisement.

Why do hedge funds have such poor returns compared to successful retail traders?

Hey Guys, Is there any indicator library out there so that I can use it in c#? Thanks.

Trading Prerequisites - Doing it Right

You may want to count the % bars that close within 20-bars Bowling Girl Band in last 10000 bars. Judging from how you use the word SD in your post, I guess you are confuse with standard normal distribution and standard deviation

Market Statistics & Probabilities (requests welcome)

This is written to those who simply hope to turn their losing system into profitable using the concept of conditional probability. If you simply just plug a few number from your backtest result then I guarantee you will find nothing but frustration. ...

Brain teaser 1: Is it possible to turn a losing system into profitable one?

It is not. btw SD = Std Deviation.

Market Statistics & Probabilities (requests welcome)

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Chance of Consecutive Losses

I use FQ volatility estimator.

Market Statistics & Probabilities (requests welcome)

I just done a quick check on GK Volatility Estimator. It seems that it still underestimate the fat tail risk.

Market Statistics & Probabilities (requests welcome)

Use binomial distribution.

Brain teaser 2: Who made the most?

Well I guess this is too easy for most people here.

Brain teaser 2: Who made the most?

I'm doubt on their test report. For example, the test on EURUSD 10 pips trigger on 4H chart with 20 pips SL showing this: Net Pips Movement --- Probability --- Profit Factor after 5pips transaction cost 10 --- 91.4% --- 2.13 20 --- 85.3% --- 3.48 30 ...

Market Statistics & Probabilities (requests welcome)

Ops I apologize for giving you a hard feeling. I have a rude personality I'm a die hard fans of Taleb. When come to a probability question related to trading, I'm not just concern about the probability, I also pay attention to its impact.

Market Statistics & Probabilities (requests welcome)

I like your horse racing analogy. I have spent years of effort on historical test on saddle blanket color, which we were told that it is important and key to the profitability. I found nothing actually useful until I eventually notice that I was ...

How to keep in faith with a statistically profitable system?

I'm not knowledgeable than everyone else. I was just giving you a hint on something that important because I have done the same thing like you before. I know you are close to a breakthru that lead you jump outside the box but you are not going to ...

Market Statistics & Probabilities (requests welcome)