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endian675
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Posts: 143
Joined: March 11th, 2008, 7:09 pm

What to do when the stats say you're done for the year...

March 12th, 2008, 9:08 pm

Hi chapsFirst post here with my new username, I've just retired my previous one that's got a bit too much personal information in it. But I'm still new here.Anyway, I am trading a small system based on events and the probability with which they occur. I hope to grow the system to significantly larger size over the next six to nine months. I have reasonable historic data on how many winning events I can expect in a year. My question is this: if, by the 10th month of the year, I've seen as many winning events as have occurred on average over the last n years, should I stop trading for the rest of the year? On the one hand I say yes, that I have filled the winning "slots" for the year and that on average the remaining slots should turn out to be empty. However, the other side of it is that the year is an arbitrary divider, and there's nothing to say that the average number of winning events won't be spread over 2 years or more. Your thoughts?
 
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daveangel
Posts: 17031
Joined: October 20th, 2003, 4:05 pm

What to do when the stats say you're done for the year...

March 13th, 2008, 7:27 am

you should make hay whilst the sun shines
knowledge comes, wisdom lingers
 
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nazzdack
Posts: 256
Joined: March 3rd, 2004, 9:50 am

What to do when the stats say you're done for the year...

March 13th, 2008, 4:21 pm

Consistent execution of your system will yield consistent results. Random execution will yield random results.
 
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endian675
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Posts: 143
Joined: March 11th, 2008, 7:09 pm

What to do when the stats say you're done for the year...

November 27th, 2009, 1:04 pm

Well it happened, and earlier than expected - after only about a third of a year's trading we'd hit the expectation value of the strategy. Going to keep on going, as encouraged above.
 
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daveangel
Posts: 17031
Joined: October 20th, 2003, 4:05 pm

What to do when the stats say you're done for the year...

November 27th, 2009, 1:23 pm

QuoteOriginally posted by: endian675Well it happened, and earlier than expected - after only about a third of a year's trading we'd hit the expectation value of the strategy. Going to keep on going, as encouraged above.i can let you have my address so you can send me the cheque ?
knowledge comes, wisdom lingers
 
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magriggs
Posts: 16
Joined: October 19th, 2004, 9:23 pm

What to do when the stats say you're done for the year...

November 27th, 2009, 8:21 pm

Last edited by magriggs on November 26th, 2009, 11:00 pm, edited 1 time in total.
 
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trendkiller
Posts: 42
Joined: August 12th, 2009, 9:48 am

What to do when the stats say you're done for the year...

November 28th, 2009, 6:37 am

I'd keep putting on the trades but perhaps with reduced position size. When things do turn around as expected, you'll get hurt less.Sizing your bets adaptively can make huge differences in performance. It's a good idea to run some tests, especially if you encounter the kind of situation you have described.
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