Maths help needed please

[MGBRoadster]

Unfortunately maths was never my strong point. Could someone have a look at this and let me know if the logic is correct?

I've been backtesting an intra-day forex strategy. The trade management works like this:

Trade with 3 lots, removing one lot at each of 3 target levels.

Target 1 - 15 pips
Target 2 - 30 pips
Target 3 - 45 pips

When T1 has been hit move the stop to half the initial stop-loss location
When T2 has been hit move the stop to entry

Stop location is based on price action - average initial stop size is 23 pips

Backtesting shows that 60% of trades hit T1, 40% hit T2 and 30% hit T3.

This is my attempt to calculate the average net profit for each target level.

T1 Trades
If 60% of trades hit T1 (15 pips) and average stop is 23 pips then

average win = 0.60 x 15 = 9.0 pips
average loss = 0.40 x 23 = 9.2 pips
average net win = -0.2 pips​

T2 Trades
If 40% of trades hit T2 (30 pips) then 60% of T2 trades will be stopped out.
60% of that 60% will be for half stop-loss (11.5 pips)
40% of that 60% will be for full stop-loss (23 pips)

average win = 0.40 x 30 = 12 pips
average loss = (0.40 x 0.60 x 23)+(0.60 x 0.60 x 11.5) = 9.66 pips
average net win 2.34 pips​

This is where my head starts to hurt...

T3 Trades
If 30% of trades hit T3 (45 pips) then 70% of T3 trades will be stopped out.
60% of that 70% will be stopped out for 23 or 11.5 pips

60% of that 60% will be for half stop-loss (11.5 pips)
40% of that 60% will be for full stop-loss (23 pips)​

40% of that 70% will have stop at entry (0 pips)

average win = 0.30 x 45 = 13.5 pips
average loss = 0.70 x ((0.40 x 0.60 x 23)+(0.60 x 0.60 x 11.5)) = 6.76 pips
average net win = 6.74 pips​

Thanks,

Chris

 

[intradaybill]

Backtesting shows that 60% of trades hit T1, 40% hit T2 and 30% hit T3.

Thanks,

Chris

That adds to 130%. Your sum should add to 100%.

 

[trendie]

if your trade doesnt reach T1(15pips) 40% of the time, then the "move SL to half" doesn't trigger.

Therefore, 40% of the time, you are taking a full 3lot hit at 23 pips.
So, your average loss (at/on T1) would be: (0.40 * 23 * 3lots = -27.6pips)

 

[Hoggums]

Here is my calc...

                                Calc                            Profit    Avg Profit    
40%    Never hit T1   = -23 * 3                       -69             -27.6    
20%    Hit T1 only     =  15 + -11.5 *2            -8               -1.6   
10%    Hit T2 only     =  15 + 30 + 0                45              4.5    
30%    Hi T3             =  15 + 30 + 45              90               27    
                                                                                    2.3    SUM

So your total expectancy for the combination of the 3 trades is 2.3 pips. - LESS than 1 pip per trade.

 

[MGBRoadster]

Thanks guys - blindingly obviuos now. Must have been overthinking it.