wilmott.com

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?

you should make hay whilst the sun shines

Consistent execution of your system will yield consistent results. Random execution will yield random results.

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.

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 ?

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.