Thursday, September 17, 2009


8 days, 47 trades & +11.17R after my MAE- assisted light bulb moment, I thought I'd quickly share a few statistics and the possible implications these may have;

* 27 winners (35.91R), 20 losers (24.75R)
* The above means Avg winner= 1.33R, Avg loser= 1.2375R
* 57% (0.574468) win rate
* 0.2374466 expectancy.

First impressions are good. The only number that really matters to me is the expectancy...considering Roulette gives the house a 5.26% edge (0.0526 expectancy), I'll definitely settle for the above!

However, the other values can cause problems of adherence to/tolerance of the edge. One potential problem that was obvious to me was the effect of any decent drawdown. If the system is making a little more on it's winners than it's losing on the losers, then, (assuming a random distribution of wins and losses) would it be more likely to chop it's way up the Y axis, opening up the possibility for a pretty severe drawdown relative to the slow but consistent collection of R's??

As it goes, that question got answered on Tuesday 13th September :)- 6 wins, 10 losses (!), 6.23R down. 62.7% of the prior 5 trading days gain...(9.93R)

If that day's excluded, we have the following stats;

* 21 wins (29.92R), 10 losers (12.53R)
* Avg Win= 1.4248R, Avg loss= 1.253R
* 68% (0.6774193)win rate
* 0.5609936 Expectancy.

There's two main choices that I see: choose to ride out those ugly days or try to limit them. I've noticed that the other days huddle quite nicely around that 0.56R expectancy while that Tuesday is sitting all on it's own at the edge of the bell curve (-0.389R)

So I'm thinking, what if I apply the same concept of MAE to the WHOLE trading day, effectively treating it as a "trade"? Maybe below -XR my odds of making money are reduced enough to warrant cutting the "DayTrade" loose?

I'll continue to trade/collect data and see what picture it paints me...


Jules said...


you guys are getting me interested in gathering data on my trades too. I just realized that Sierra runs something like Ninja (helps keep records of trading), and I intend to really start collecting statistics so I can start relying on numbers rather than my own emotions and no-good instincts.

By the way, I just saw your email (imagine hundreds of emails - mostly spams - sitting there after my neglecting them for weeks). You really tickled me :-) Fancy arguing with a celebrity LOL! I applaud you for your deed. I would really have loved to give a piece of my mind too, but I find it easier to just ignore people I don't see eye to eye with :-)

Thanks for writing me, MM. And it's so good to see a post from you too! You and Solfest and UF should write more, like everyday :-)

James Edwards-Marche said...

Hi Jules :)

I think it's great that you're becoming more interested in collecting data. It helps appeal to the rational side of us in order to overpower the erratic, emotional side. I have UF to thank for the new direction...I love M.A.E!!

lol@arguing with a celebrity...hehe...yeah, I felt I could say something because we had exchanged E-mails several times in the past. It especially bothered me when a trader (Andy Lindloff) I suggested he interview several months ago, appeared on the programme after it became a premium service- I was looking forward to that one!

Re: the writing to you- you're welcome Jules :) I think it's great that we can bounce ideas and thoughts off of one another...and each become stronger for it WITHOUT the ridiculous fee! ;)

Maybe we'll call ourselves crustaceans or

Anonymous said...

I'm intrigued by the 'celebrity' story but won't let myself get distracted ;-)

Actually, I need to print your post out and think about it whilst I walk the dog tomorrow(this is a compliment, I only do this with things that deserve 100% attention!!).

I'll comment properly next week. Have a good weekend (that's @Jules too, especially as I feel guilty about not commenting on her blog).

Anonymous said...

I've sent a response by e-mail as this little white comment box confuses me too much!

Feel free to treat that e-mail as 'public' if any of the points it contains aids this discussion (or for my public humiliation if I haven't grasped your argument correctly!).

Anonymous said...

MM, you said..."The only number that really matters to me is the expectancy...considering Roulette gives the house a 5.26% edge (0.0526 expectancy), I'll definitely settle for the above!

The gambling expectancies don't change, while your trading may, so I would NOT be satisfied with that performance.
I do burst the bloggers bubbles and they do like Jules find me amusing. Perhaps you will see things different.

James Edwards-Marche said...


Sorry to disappoint, but no bubble to burst here! lol.

As far as being satisfied- I'm not. At this stage, it's just hypothetical.