Haven’t been posting much because I haven’t had as much time in a week (and likely won’t unless something changes) so I want to make my posts longer! I hope that compensates a little.
A lot of times, I’m looking for a consistent pattern or some number to pop out to me. It’s generally best to do things in a general way if possible, because it leaves more room for improvements and alterations. I did this a lot with the previous work, but recently I tried to something similar to a trade simulator and learned something new.
In this snip here, I have actual data, followed by the pivot’s current direction, the current bars PTZ (aka, this bar is the highest bar of the past x bars), and some other directional filters. On the right side is my attempt at custom TFs. I created a “signal” that occurs when circumstance “x” is met. When this is met, I wanted to track the past 20 days. BUT this was assuming that the signal bar was the day’s close. In other words, I had to make use of all 24 possible “days”. Pain in the butt. Really. Then I ran something as close to a live simulation as I could. I took the signal, put a TP/SL on it, and tried to find my win rate. The result? +/- 5% from break even. No good.
After checking, rechecking, and digging through the code a LOT to make sure it was functioning correctly (and discovering a lot of bugs) I actually took the time to look at the results. The actual results.
Both 1:3 and 1:1 results end up close to break even, but there’s a huge difference in what I came to see as a BIG deal. (if correct. Now I need to double check some more hehe).
Each histogram is counting the wins and losses as streaks. As an example when trading using the 1:3 RR, 39% of my losses occur in a streak of 1. That is, my trade history may look like:
L, W, W
L, W, L
L, W, W, W, etc
but the string of L, L, x.. occurs about 60% of the time. If I lose, I’m more likely than not to lose the very next trade. 60-40 is one thing, but here’s another. The 22% of streaks lasting longer than 10. This is MUCH more pronounced in 1:3 ratios than 1:1 ratios. Simply cutting trades after losing 6, 8, or 10 trades in a row and WAITING until a winner has passed seems to have some merit to it! As an added bonus, streaks of wins seem to happen as well.