What is your Expectancy ?

[bpr]

I know most traders don't want 'cost of trade' input so, I said just add another sheet for those like me who can use it.
Don't change your calculation. Just add another sheet with another column like 'Qty' where we can put 'breakeven/cost of trade'. These will be helpful.

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About the backtest, I select trending(from EOD/WEEKLY charts) stock for trading.
As the system is trend following, the performance will reduce if stock in the long-range bound period.

Backtested Reliance from approx April 1st to mid of May 2018 approx 45 calendar days(not trading days. As Reliance moved from 890 to 1000 in that time the performance is high. If we calculate it for 2 months and 15 day (till today EOD) even the performance will be better as the stock is still giving bigger moves. But the performance may reduce with other stock.

It's better to test with your stocks. (Whats your favorite stock, Tata Steel?)
Name your 1-2 stocks, I'll post the result (in weekend). Choose any liquid stock at least over Rs 200 price.

I will add the cost column.
If u ask me then I will chose tatasteel and vedl.

 

[pannet1]

I will add the cost column.
If u ask me then I will chose tatasteel and vedl.

Seems another another excel(lant) work in the making. a probable candidate for your signature.

 

[bpr]

added BEP column in points. Also added a graph for Cumulative Pnl.
If you don't want to use it put BEP points as Zero.
Link in my signature.

 

[bpr]

I came across a formula to calculate the probability of consecutive looses based on winning percentage
Not sure how correct and effective it is ...but here u go...

Probability of n consecutive loosers over N trades for a given w =Winning Percentage
The first Column shows the w=Winning percentage
The heading row shows the n=Consecutive loosers
Total number of trades is N=1000

 

[bpr]

anybody uses kelly criterian for determining position size?
It is a mathematical way of determining the optimum position size for a given winning percentage and win/loss ratio or reward to risk ratio to maximize profit
the formula is

The genaral consensous is kelly is very aggresive. People usualy recomend half kelly or 1/4 kelly for usage.
what do guys think about this ??

 

[augubhai]

I kind of trade based on Kelly Criteria. In my view, it is the only mathematically optimal money management solution. Other money management methods, some of which are based on psychology and some on plain gobbledygook - do not make any mathematical sense.

However, Kelly Criterion can really only be calculated when the odds and payoff are known in advance. This is not possible in most trading systems. So, in my case, I just use approxomate historical values of the odds and payoff to calculate the bet size. I any case, due to margin requirements, it is not possible to bet the full Kelly size for my trading systems.

https://www.traderji.com/community/threads/bakwaas-trading.88102/page-20#post-1365087

 

[bpr]

I kind of trade based on Kelly Criteria. In my view, it is the only mathematically optimal money management solution. Other money management methods, some of which are based on psychology and some on plain gobbledygook - do not make any mathematical sense.

However, Kelly Criterion can really only be calculated when the odds and payoff are known in advance. This is not possible in most trading systems. So, in my case, I just use approxomate historical values of the odds and payoff to calculate the bet size. I any case, due to margin requirements, it is not possible to bet the full Kelly size for my trading systems.

https://www.traderji.com/community/threads/bakwaas-trading.88102/page-20#post-1365087

kelly is very intresting in that the number are so agressive compared to what most traders common sense would detect.But u cant argue with mathematics.
The problem however is the win percentage and payoff does not remain constant for a particular method and can flacutuate so if u r using kelly sizing and the numbers dip u r in big problem as kelly reduces drstically if win percentage or pay off decrease.

Also another thing the kelly assumes that the profit can be immediately resused to increase size but in real trading that is not the case.

So I think 1/4 kelly or less is better.

 

[bpr]

this is a kelly calculator link for anybody intrested
https://www.albionresearch.com/kelly/default.php
the odds can be confusing
if ur risk to reward is 1 : 2 then enter the odds as 2 to 1 and viceversa.