Why Top Retail traders V Commercial Traders

[Forexmospherian]

Morning Guys

Hi Random - first of all - well done - a Sharpe Ratio of 2.49 for 2013 is excellent in terms of the commercial world. The fact that you have asked a serious question in a normal fashion - I am going to treat this in a correct and professional manner - and reply in detail.

Rather than just give you my ratio- based on the three main components - I will give you more of my own ratio details and so you can also work out what you think it is.

i will come back with the reply hopefully today and if not later - certainly over the weekend

Regards

F

 

[random12345]

Morning Guys

Hi Random - first of all - well done - a Sharpe Ratio of 2.49 for 2013 is excellent in terms of the commercial world. The fact that you have asked a serious question in a normal fashion - I am going to treat this in a correct and professional manner - and reply in detail.

Rather than just give you my ratio- based on the three main components - I will give you more of my own ratio details and so you can also work out what you think it is.

i will come back with the reply hopefully today and if not later - certainly over the weekend

Regards

F

Just give me the ratio FX... it takes 10 minutes to figure out using your dailies.

Here - list your daily returns as a percentage each day (so you need to be sure it reflects the return vs amount in your account each day else the result is skewed) and do STDEV.S(A1:A###) on that sample, then multiply the result by the sqrt of your total trading days. Now take your annual return as a %, minus 5% and divide this result by the product of the sqrt and stdev above. There be your Sharpe. No Sean Bean in sight. No advanced mathematics. No confusion.

Now, even the AIMA (who aren't the best, but they are about the only body that helps control the step up from retail to fund) suggests to seeders to treat Sharpes above 3.5-4 to be "extremely dubious and unreliable". If half of what you say is true about your day to day performance then, as I have said before, your Sharpe will be huge and you are an unknown quantity not just to the trading community at large, but also to the brokerage community. The only way to hide your true Sharpe is to use intraday Martingale. I'm sure a pro like you wouldn't stoop to such things so just gimme the ratio and people can draw their own conclusions as to whether they believe your claims.

 

[random12345]

I must confess that Forexperian has made (imho) a significant impact on T2W over the last few months .............clearly opinions will be mixed across the old school crew...... he is certainly not a shrinking violet ....and is opinionated and passionate about his own particular style and approach that I applaude........without that its not worth trading in the first place and certainly not worth being part of a forum and conributing

I will certainly watch out for F and his threads with interest in 2014 as without such new debate and conjecture T2W will be a boring place

bring it on .........
N

Too bad that PB was removed to make room for this new breed of "helper" though NVP eh? We all knew that PB pushed it, but I'd rather an honest b@stard in the mix any day.

Total money saved for fools with 5 grand in their pocket by PB = 6 figures?

Money gained by people using LR on Intellicharts and bumming about with FX's thread = zero dollar?

 

[Forexmospherian]

Just give me the ratio FX... it takes 10 minutes to figure out using your dailies.

Here - list your daily returns as a percentage each day (so you need to be sure it reflects the return vs amount in your account each day else the result is skewed) and do STDEV.S(A1:A###) on that sample, then multiply the result by the sqrt of your total trading days. Now take your annual return as a %, minus 5% and divide this result by the product of the sqrt and stdev above. There be your Sharpe. No Sean Bean in sight. No advanced mathematics. No confusion.

Now, even the AIMA (who aren't the best, but they are about the only body that helps control the step up from retail to fund) suggests to seeders to treat Sharpes above 3.5-4 to be "extremely dubious and unreliable". If half of what you say is true about your day to day performance then, as I have said before, your Sharpe will be huge and you are an unknown quantity not just to the trading community at large, but also to the brokerage community. The only way to hide your true Sharpe is to use intraday Martingale. I'm sure a pro like you wouldn't stoop to such things so just gimme the ratio and people can draw their own conclusions as to whether they believe your claims.

OK - 1.64 - yes meaningless - total waste of time

Now you tell me why you think my Sharpe ratio would be massively high - because you are obviously calculating something into the equation an assumptions that are not true.

Just reply with how you see my figures ( last year 213 trading days 2% average per day - make the rest up as you like )- and then I can show you what you are getting it wrong.

The Sharpe Ratio is flawed as I am sure you know - but I am interested in why you are assuming something in your own approx calculations of my daily or annual returns - to give me a silly 150 ratio ?

My most important ratios in the retail forex trading world are as follows ( in no particular order of priority)

1. - % risk of capital per trade

2. Normal daily draw downs % along with maximum draw down per week / month

3. Win percentage ratio on blocks of 100 trades and most important - size of stop ;-)

4. RR average returns based on blocks of 100 trades ( eg last year I made 2892 trades on my main account)

5.Average time exposure in a live trade in the market ( very important for efficiency and also all short term trades need to be watched live and only trades with stops in profit can be left unattended)

6 All trades must be closed daily - and only trades in above 1% profit can be left open

7.Number of trades open in the market at the same time

8. Cost of trading based on number of trades etc is separate to the main objective of making monetary gains on a daily basis. I personally do not compound on my main capital account - and with draw profits every 6 -10 days.

Looking forward to your calculations based on what you think I am doing ???

Regards

F

 

[Forexmospherian]

Too bad that PB was removed to make room for this new breed of "helper" though NVP eh? We all knew that PB pushed it, but I'd rather an honest b@stard in the mix any day.

Total money saved for fools with 5 grand in their pocket by PB = 6 figures?

Money gained by people using LR on Intellicharts and bumming about with FX's thread = zero dollar?

From what i understand and have read - PBoyles did some good work by exposing the crooks and fraudsters in the Industry.

BUT - as I have said before - just like in trading - you will never be 100% correct - and yes- he was totally wrong about me - Can I repeat that totally wrong !!!!

I do not sell courses or books or DVD's - In fact i should do - but to use PLDB's terminology - I can't be arsed ;-0

There is absolutely no 2 ways about it - traders who follow my ( FREE) thread here on this site - will gain forex trading knowledge - and should also over time - when they execute the moves correctly will make money .

So really - the Industry should hate me - but as you know they cannot be bothered if another 100 or 500 traders start to become more consistent - that's the same as you losing a 1p coin down the drain - It will not really have a dramatic effect.

However - if suddenly traders start copying just a few of my methods ( and they are not all unique to me) - overtime the winning percentages of Forex traders will go up from 5 to 10% to even 15% - a massive increase - but still 85% of traders will be losers.

That effect is far stronger then PBoyles telling all new traders don't spend a few hundred or thousands on trying to learn how to trade off fraudsters and crooks.

Hope that makes sense - it does to me ;-)

Regards

F

 

[random12345]

OK - 1.64 - yes meaningless - total waste of time

Now you tell me why you think my Sharpe ratio would be massively high - because you are obviously calculating something into the equation an assumptions that are not true.

Just reply with how you see my figures ( last year 213 trading days 2% average per day - make the rest up as you like )- and then I can show you what you are getting it wrong.

The Sharpe Ratio is flawed as I am sure you know - but I am interested in why you are assuming something in your own approx calculations of my daily or annual returns - to give me a silly 150 ratio ?

My most important ratios in the retail forex trading world are as follows ( in no particular order of priority)

1. - % risk of capital per trade

2. Normal daily draw downs % along with maximum draw down per week / month

3. Win percentage ratio on blocks of 100 trades and most important - size of stop ;-)

4. RR average returns based on blocks of 100 trades ( eg last year I made 2892 trades on my main account)

5.Average time exposure in a live trade in the market ( very important for efficiency and also all short term trades need to be watched live and only trades with stops in profit can be left unattended)

6 All trades must be closed daily - and only trades in above 1% profit can be left open

7.Number of trades open in the market at the same time

8. Cost of trading based on number of trades etc is separate to the main objective of making monetary gains on a daily basis. I personally do not compound on my main capital account - and with draw profits every 6 -10 days.

Looking forward to your calculations based on what you think I am doing ???

Regards

F

So very sorry I was going on your ludicrous claims in the early stages of your expert thread where you claimed to be making x y z% a day and on the extreme rarity of your losing days.

I think I need to vouch your calcs - so what was your annualised s/d? Your annual ROR was properly aggregated too yes? What was it - around 500% based on 2% a day? Average return of 2% if you have so very few losing days would suggest a very regular return around the 2% mark, as I'm sure being a mathematical genius (haha!) you don't need me to explain this. Since your thread insinuates you finish almost every day up then I assume there are very few <0.5% days as you're often so happy with yourself, again narrowing the range of possible results. This leaves little room for variance or volatility, which tends to produce a very large Sharpe.

Let's see now. 500% - 5% = 495%. Let's give you an absolute max daily sd of 1.5% based on your claims (and I'm being very generous to you here to make your Sharpe small) * sqrt 240 trading days = 23.24 annualised standard deviation.

495 / 23.24 = 21.29 Sharpe Ratio.

So either your daily volatility is very large with many zero days (rather than losing...) or your annual return is a lie...?

It's great to see you are now beginning to actually get into genuine knowledge of what a Sharpe is rather than replying with half cocked nonsense about advanced mathematics and how they may or may not apply (??) - you are now able to actually visualise what you're talking about with only a tiny amount of work, albeit a direct formula from me.

 

[random12345]

From what i understand and have read - PBoyles did some good work by exposing the crooks and fraudsters in the Industry.

BUT - as I have said before - just like in trading - you will never be 100% correct - and yes- he was totally wrong about me - Can I repeat that totally wrong !!!!

I do not sell courses or books or DVD's - In fact i should do - but to use PLDB's terminology - I can't be arsed ;-0

There is absolutely no 2 ways about it - traders who follow my ( FREE) thread here on this site - will gain forex trading knowledge - and should also over time - when they execute the moves correctly will make money .

So really - the Industry should hate me - but as you know they cannot be bothered if another 100 or 500 traders start to become more consistent - that's the same as you losing a 1p coin down the drain - It will not really have a dramatic effect.

However - if suddenly traders start copying just a few of my methods ( and they are not all unique to me) - overtime the winning percentages of Forex traders will go up from 5 to 10% to even 15% - a massive increase - but still 85% of traders will be losers.

That effect is far stronger then PBoyles telling all new traders don't spend a few hundred or thousands on trying to learn how to trade off fraudsters and crooks.

Hope that makes sense - it does to me ;-)

Regards

F

The loss of PB in exchange for a man in a tin foil hat was a major loss to the forum, but the forum of course has a commercial slant to pay its bills and PB was too aggressive in his mockery of both the advertisers and the outright crooks so I guess it cost him and now we have you.

The fact that you think 15% of retailers could become heavy percentage winners without having an adverse effect on your bottom line tells the whole story of your vaunted knowledge.

Yeah I know your methods aren't unique since I remember that crook Dan Gaub pushing them in similar fashion years ago - he even set up a fund around it that lost a fortune.

The industry at large doesn't hate you or know about you, nor me.... you're just a few hundred quid of revenue to FXpro.

 

[Shakone]

So very sorry I was going on your ludicrous claims in the early stages of your expert thread where you claimed to be making x y z% a day and on the extreme rarity of your losing days.

I think I need to vouch your calcs - so what was your annualised s/d? Your annual ROR was properly aggregated too yes? What was it - around 500% based on 2% a day? Average return of 2% if you have so very few losing days would suggest a very regular return around the 2% mark, as I'm sure being a mathematical genius (haha!) you don't need me to explain this. Since your thread insinuates you finish almost every day up then I assume there are very few <0.5% days as you're often so happy with yourself, again narrowing the range of possible results. This leaves little room for variance or volatility, which tends to produce a very large Sharpe.

Let's see now. 500% - 5% = 495%. Let's give you an absolute max daily sd of 1.5% based on your claims (and I'm being very generous to you here to make your Sharpe small) * sqrt 240 trading days = 23.24 annualised standard deviation.

495 / 23.24 = 21.29 Sharpe Ratio.

So either your daily volatility is very large with many zero days (rather than losing...) or your annual return is a lie...?

It's great to see you are now beginning to actually get into genuine knowledge of what a Sharpe is rather than replying with half cocked nonsense about advanced mathematics and how they may or may not apply (??) - you are now able to actually visualise what you're talking about with only a tiny amount of work, albeit a direct formula from me.

Does he only make 2% a day? I thought he risked 1% on a 3-7 pip stop and typically made 50 pips per day and sometimes much more, which would be more like 5-10% a day or more. I've probably got the % he risks per trade wrong.

However, taking your estimate of 2% a day, and a Sharpe of 1.64, we can estimate the standard deviation of his returns. A little bit more volatile than I was expecting, because he's profitable every day you know.

 

[Forexmospherian]

So very sorry I was going on your ludicrous claims in the early stages of your expert thread where you claimed to be making x y z% a day and on the extreme rarity of your losing days.

I think I need to vouch your calcs - so what was your annualised s/d? Your annual ROR was properly aggregated too yes? What was it - around 500% based on 2% a day? Average return of 2% if you have so very few losing days would suggest a very regular return around the 2% mark, as I'm sure being a mathematical genius (haha!) you don't need me to explain this. Since your thread insinuates you finish almost every day up then I assume there are very few <0.5% days as you're often so happy with yourself, again narrowing the range of possible results. This leaves little room for variance or volatility, which tends to produce a very large Sharpe.

Let's see now. 500% - 5% = 495%. Let's give you an absolute max daily sd of 1.5% based on your claims (and I'm being very generous to you here to make your Sharpe small) * sqrt 240 trading days = 23.24 annualised standard deviation.

495 / 23.24 = 21.29 Sharpe Ratio.

So either your daily volatility is very large with many zero days (rather than losing...) or your annual return is a lie...?

It's great to see you are now beginning to actually get into genuine knowledge of what a Sharpe is rather than replying with half cocked nonsense about advanced mathematics and how they may or may not apply (??) - you are now able to actually visualise what you're talking about with only a tiny amount of work, albeit a direct formula from me.

Sorry - you have your calculations wrong in 3 areas - including the number of my trading days.

Also some of your assumptions are not correct for the ratio.

With regards to you saying your Sharpe ratios can be hidden or flawed by using Martingale - I think if you look into it a lot further - it can be flawed by other variables needed for the equation - and the figure you come up with in your conclusion is a great example of why this is the case.

Back to the drawing board please - and please be open - what part can you not see as being totally viable in my strategy ????

Could I be the trader proving to the commercial trading world that the "earth is no longer flat "

I don't think so - but now I just hope you realise you cannot compare apples with oranges with this flawed "investment" ratio

Regards

F

 

[random12345]

Does he only make 2% a day? I thought he risked 1% on a 3-7 pip stop and typically made 50 pips per day and sometimes much more, which would be more like 5-10% a day or more. I've probably got the % he risks per trade wrong.

However, taking your estimate of 2% a day, and a Sharpe of 1.64, we can estimate the standard deviation of his returns. A little bit more volatile than I was expecting, because he's profitable every day you know.

Yeah doesn't make any sense does it?

It was his estimate of 2% a day to boot, not mine.

 

[NVP]

Too bad that PB was removed to make room for this new breed of "helper" though NVP eh? We all knew that PB pushed it, but I'd rather an honest b@stard in the mix any day.

Total money saved for fools with 5 grand in their pocket by PB = 6 figures?

Money gained by people using LR on Intellicharts and bumming about with FX's thread = zero dollar?

I didnt say I was going to trade like him...........just commenting on his lively contribution to the threads.......

and sure Pb is the protector of the realm .......but we need ideas as well as critism to make T2W an interesting forum

N

 

[Forexmospherian]

See - the main part you have got wrong is the fact that I finish over 95% of my trading days up - BUT - the difference between 2 pips on say 3 lots and then 150 pips on an average 2 lots is massive.

That is just one flaw - as my main objective is not to maximise my returns over a week or month - which is in fact another weakness of investment trading - but not to have losing days and draw downs above 5% and 7% max.

The standard deviation part of your calculation is flawed by this and really even having a 2% average day - could mean I have 80 days at just 0.3% gain and then say 20 days at 4% gain and 2 days at 10% gain

I can go on and give you many more reasons why the Sharpe ratio is a waste of time in retail forex trading - but then again - you know this - so i dont know why you are even bothering

Regards

F

 

[random12345]

Sorry - you have your calculations wrong in 3 areas - including the number of my trading days.

Also some of your assumptions are not correct for the ratio.

With regards to you saying your Sharpe ratios can be hidden or flawed by using Martingale - I think if you look into it a lot further - it can be flawed by other variables needed for the equation - and the figure you come up with in your conclusion is a great example of why this is the case.

Back to the drawing board please - and please be open - what part can you not see as being totally viable in my strategy ????

Could I be the trader proving to the commercial trading world that the "earth is no longer flat "

I don't think so - but now I just hope you realise you cannot compare apples with oranges with this flawed "investment" ratio

Regards

F

So give me the numbers you used in your calc and a snapshot of your dailies then so we can get to the bottom of this anomaly?

Here are mine - 71.82 - 5 / 26.83 = 2.49.

Daily s/d before annualisation is 1.83%.

500 - 5 / x = 1.64 where x must be ~ 301. Holy moly? That's a daily S/D of 19.43%?! Mental.

240 is about the max trading days and per your thread you seem to trade EVERY damn day, even the days nobody else does.

Sharpe ratios are not just used for investment as I have said. They are used as a baseline for all seed investment to multi strat funds.

 

[Shakone]

See - the main part you have got wrong is the fact that I finish over 95% of my trading days up - BUT - the difference between 2 pips on say 3 lots and then 150 pips on an average 2 lots is massive.

That is just one flaw - as my main objective is not to maximise my returns over a week or month - which is in fact another weakness of investment trading - but not to have losing days and draw downs above 5% and 7% max.

The standard deviation part of your calculation is flawed by this and really even having a 2% average day - could mean I have 80 days at just 0.3% gain and then say 20 days at 4% gain and 2 days at 10% gain

I can go on and give you many more reasons why the Sharpe ratio is a waste of time in retail forex trading - but then again - you know this - so i dont know why you are even bothering

Regards

F

Well the Sharpe ratio is the Sharpe ratio, it has its flaws for things like writing options, but it's a perfectly valid measure for your style of trading.

 

[random12345]

See - the main part you have got wrong is the fact that I finish over 95% of my trading days up - BUT - the difference between 2 pips on say 3 lots and then 150 pips on an average 2 lots is massive.

That is just one flaw - as my main objective is not to maximise my returns over a week or month - which is in fact another weakness of investment trading - but not to have losing days and draw downs above 5% and 7% max.

The standard deviation part of your calculation is flawed by this and really even having a 2% average day - could mean I have 80 days at just 0.3% gain and then say 20 days at 4% gain and 2 days at 10% gain

I can go on and give you many more reasons why the Sharpe ratio is a waste of time in retail forex trading - but then again - you know this - so i dont know why you are even bothering

Regards

F

These were reasonable based on claims in your thread - when was the last time you posted about a losing day in your thread and how big it was? I mean, that would be misleading and dishonest otherwise since you often highlight your good days?

The S/D of the figures you provided would be quite low. 1.93% daily before annualisation so that doesn't explain yours, sorry. Also that's an average of 1.21%, not 2.

 

[Forexmospherian]

The loss of PB in exchange for a man in a tin foil hat was a major loss to the forum, but the forum of course has a commercial slant to pay its bills and PB was too aggressive in his mockery of both the advertisers and the outright crooks so I guess it cost him and now we have you.

The fact that you think 15% of retailers could become heavy percentage winners without having an adverse effect on your bottom line tells the whole story of your vaunted knowledge.

Yeah I know your methods aren't unique since I remember that crook Dan Gaub pushing them in similar fashion years ago - he even set up a fund around it that lost a fortune.

The industry at large doesn't hate you or know about you, nor me.... you're just a few hundred quid of revenue to FXpro.

What you have just said is reasonable - the industry just does not know about me or you.

Actually, though - I am not aware of any other retail forex trader using my exact methods - other than Major Magnum this last couple of months after he joined me on the thread.

I did not explain them in detail over the 2 yr plus I was at Forex Street - and of the 300 traders who befriended me there - only about 15 knew in detail the amount I have given away here in this forum.

With regards to Dan Gaub - never heard of him - I must check out what he was pushing etc .

Did I tell you when I first traded with over 20 full lots in 2008/9 with GFT UK - it took on average 30 -90 seconds to get the trade on and confirmed. The account manager told me that even though I had £150k in my account - they had to manually check each order of £100 per pip - before allowing it ;-)

I am no longer with GFT and with 2 ECN's brokers atm - please tell me if I was to try 20+ lots nowadays would my entry be within 1-3 seconds - as I would expect ?

 

[Forexmospherian]

Does he only make 2% a day? I thought he risked 1% on a 3-7 pip stop and typically made 50 pips per day and sometimes much more, which would be more like 5-10% a day or more. I've probably got the % he risks per trade wrong.

However, taking your estimate of 2% a day, and a Sharpe of 1.64, we can estimate the standard deviation of his returns. A little bit more volatile than I was expecting, because he's profitable every day you know.

Hi Shakone

On my main account - I rarely use 1% risk on single trades etc - but when I have 2 or 3 scalps on simultaneously - yes it might be close.

On a £50k capital account ( approx $81/2k ) a 1% stake based on average 5 pip stops works out at 16 full lots. I rarely over 10 full lots per pip and my favourite stake are 5 and 6 lots and then I leave 30% on as a free trade with stop in profit.

So if I make 25+ pips on a 30% stake - a RR of 5 in theory - my actual % of my capital increase is only 0.6% increase on a £50K capital account - but $500 profit or just over £300 is still a nice earner off just one part of a trade.

Another example - a 6 lot scalp with a 8 pip net reward - and full stake taken off

Result - $480 profit (£292 ) but in terms of a RR - 1.5 and in terms of increase on my account in % terms - 0.6% on Capital.

So if I did 12 trades in a day made say $2k net still only 2.4% increase on my capital

Likewise - with a $1k account and using 5% stakes then 12 trades can easily be a $600+ day and of course that's then over 50% ROR just within a day

I would say then - which is the riskier to do ?

Trades with $60 per pip or trades on only $10 per pip - but giving a 50% + ROR on capital in a day. ??

Take your pick ?

Regards

F

 

[Forexmospherian]

These were reasonable based on claims in your thread - when was the last time you posted about a losing day in your thread and how big it was? I mean, that would be misleading and dishonest otherwise since you often highlight your good days?

The S/D of the figures you provided would be quite low. 1.93% daily before annualisation so that doesn't explain yours, sorry. Also that's an average of 1.21%, not 2.

Since November 2nd 2013 - I have not had a losing day - but have now had 3 days when i have not made my daily target of 50 pips

Not having a losing day is my priority rather than trying to make say $3k every day instead of days of only $700 to $2500.

80 pips on a high percentage of "free trades" will not be as profitable as only 35 pips on full stake scalps.

I rarely do over 220 trading days - with maybe as low as only 180 days when I take extended holiday breaks ( no not old people cruises ;-) )

i think you mistake my 5000% gain in a month attempts on $100 capital accounts within 100 trades and then extrapolate the parts you want to use to try and destroy a very sensible strategy on my proper account.

Hope this helps to explain more

Regards

F

 

[random12345]

Since November 2nd 2013 - I have not had a losing day - but have now had 3 days when i have not made my daily target of 50 pips

Not having a losing day is my priority rather than trying to make say $3k every day instead of days of only $700 to $2500.

80 pips on a high percentage of "free trades" will not be as profitable as only 35 pips on full stake scalps.

I rarely do over 220 trading days - with maybe as low as only 180 days when I take extended holiday breaks ( no not old people cruises ;-) )

i think you mistake my 5000% gain in a month attempts on $100 capital accounts within 100 trades and then extrapolate the parts you want to use to try and destroy a very sensible strategy on my proper account.

Hope this helps to explain more

Regards

F

Nah I didn't mistake it.

Either your returns are much lower than you claim or your volatility is much higher with huge variance in returns (far far far more than the example you gave...) in order to generate that Sharpe ratio. Neither statement seems to make sense with the consistency you claim in your thread.

If you're making 2% a day on your invested capital at 180 days that is still a 360% return or 355% over mean returns on US treasuries that requires huge volatility to create a Sharpe of ~ 1.6. It's simple stuff. That's why the Sharpe ratio is so good at spotting out BS since it's a single number with many clues.

 

[random12345]

I am no longer with GFT and with 2 ECN's brokers atm - please tell me if I was to try 20+ lots nowadays would my entry be within 1-3 seconds - as I would expect ?

Filling an order as small as 2 million should take less than 20ms.