High win %

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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LeviF
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High win %

Post by LeviF » Tue Mar 27, 2012 3:34 pm

I recently came up with a system with 80% winners and avg loss = 2x avg win. I am having difficulty understanding why and how this system is so accurate. But maybe that is why I havent made any money trading LTTF in the last 4 years. I wonder if anyone else successfully trades something with similar win/loss stats? I just started simul trading it to monitor slippage...

RedRock
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Post by RedRock » Tue Mar 27, 2012 3:52 pm

Larry Williams did quite a bit with these digs. Usually Large losers, many small winners. A few big hits... Perhaps a bailout type exit which allows a market move on day one but is ruthless about getting out even if it doesn't take off pronto...

trackstar
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Post by trackstar » Tue Mar 27, 2012 4:05 pm

would you call this system trendfollowing?

trackstar
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Post by trackstar » Tue Mar 27, 2012 5:40 pm

well, I just wasted the afternoon trying to get an 80% win rate system....I can't get above 67%. Win:Loss is 1.7:1, not bad.

It seems I would need another input besides a moving average to achieve a higher win rate....

wguan
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Multiple Time Frame

Post by wguan » Tue Mar 27, 2012 6:53 pm

I think MTF is the way to go for easily achieving high win rate. don't know how it would be implemented in tblow though.

drm7
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Post by drm7 » Thu Mar 29, 2012 9:02 am

LeviF: Is your system a countertrend system? I think that these kinds of systems are tempting, because that high win rate can make the results look really good. However, the really damaging losses don't show up until later, and its hard to really predict them. Vic Niederhoffer successfully traded a countertrend system (selling options) for years, then blew up almost overnight.

How large is your test set? How many trades?

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