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Just my £0.02....

Dave

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The formula for probable consecutive losing (or winning) trades based on a known percentage of success is as follows:

C = Ln(X)/-Ln(Y)

Where C = Consecutive Losing trades

X = Number of trades made

Y = Losing percentage of trades

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I trialled this and backtested it on a number of positions and it is very accurate. I was suprised I had never used this before or thought of it myself!!

"The predicted range is the square root of the time series"

Uh? Well it goes like this.

If the average daily range is $0.76 then the predicted weekly range is $0.76*SQRT(5)

Unfortunately it is not as simple as that but you move a lot closer to the solution using this formula.

Scripophilist,

It was me that posted the formula which I had primarily used for predicting horse racing wins and losses a few years ago but it is just as applicable to trading.

Glenn,

It doesnt give a negative answer for C see attached Excel spreadsheet which does it all for you.

Cheers

Paul

It was me that posted the formula which I had primarily used for predicting horse racing wins and losses a few years ago but it is just as applicable to trading.

Glenn,

It doesnt give a negative answer for C see attached Excel spreadsheet which does it all for you.

Cheers

Paul

It's worth us having a chat at some point as my original background was gambling games before I realised there was a bigger, better and fairer Casino out there.

I am on MSN / YAHOO / AOL all the time my nickname is rather suprisingly "Scripophilist" or on AOL "ScripophilistUK"

Looking at your spreadsheet, there are two hidden columns, C and D. These must contain other formulae which give the values C2 and D2 from A2 and B2.

So the formula C = Ln(X)/-Ln(Y) is not the whole picture.

The use of -Ln(Y) suggests that Y is always less than 1 in order to give a positive answer, so Y clearly isn't either of the two input values.

Glenn

C=(ln(x)/(-ln)

"Cols C&D merely (D) convert integer 70 into a percentage probability (i.e. 0-1), "

So there is a formula missing to calculate that probability.

"(C) work out NOT(d). "

Don't undesrtand what you mean by this.

Using the Input values on the spreadsheet, x=400 and y=70,

The Natural Log of 400 is 5.99146

the negative Natural Log of 70 is -4.24849

Therefore C works out at -1.4102563, which is nonsense.

Incidentally, has anyone tried entering other figures e.g. 10 total and 5 winners ?

This gives 45 consecutive losing trades ! Interesting.

Glenn

Glenn,

If you highlight the whole spreadsheet and then adjust one column width a small amount then columns C and D will appear and are only used to convert percentage wins to a convertable formula between 0 and 1. The reason they are hidden is because there is no input to be placed in them and to prevent confusion for users and that is all.

As said previously the formula does not return a negative result because the - LN is always calculating a number between 0 and 1 which is a converted percentage. If it was greater than 1 then as you say it would give a negative number.

Paul

PS I take your point on only 10 trades. It is a while since I did this, in fact many years ago and I think it requires a minimum of 100 trades to be truly effective and also bear in mind that statistical analysis only works effectively on larger numbers. I found it useful for what I did and only put it on the boards to help people as I have nothing to sell.

If you highlight the whole spreadsheet and then adjust one column width a small amount then columns C and D will appear and are only used to convert percentage wins to a convertable formula between 0 and 1. The reason they are hidden is because there is no input to be placed in them and to prevent confusion for users and that is all.

As said previously the formula does not return a negative result because the - LN is always calculating a number between 0 and 1 which is a converted percentage. If it was greater than 1 then as you say it would give a negative number.

Paul

PS I take your point on only 10 trades. It is a while since I did this, in fact many years ago and I think it requires a minimum of 100 trades to be truly effective and also bear in mind that statistical analysis only works effectively on larger numbers. I found it useful for what I did and only put it on the boards to help people as I have nothing to sell.

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e.g. To calculate Consecutive Losing Trades, the formula is

C = Ln(A2) / -Ln((100-B2)/100)

"As said previously the formula does not return a negative result because the - LN is always calculating a number between 0 and 1 which is a converted percentage"

Erm, you didn't say this previously and anyway what you say is not the case. The reason for using -Ln is that Column D2 (1-C2) creates a negative result, which has to be reversed to positive in order to give a sensible answer.

And for Scrip, the Priority method of dealing with a formula does not work as you think for division, no matter where you put the brackets.

Without intent I've probably got up everyones noses now, but I think it's important to be clear on the facts. No offence intended.

Glenn

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