Win ratio 65% with risk/reward 1:1?

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illiniry

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I was just wondering if any of the intraday systems traders on here find this win rate feasible? I have a breakaway gap system that seems to work very well with the target being equal to the stop, it seems to work over 65% of the time, if not higher. I know I've heard many times that anything above the 50% range is very hard to come by, but I could be wrong. What does everyone think? I'm talking about a strategy with absolutely no discretion, no trailing stop or anything, the stop and target are entered the moment the trade is put on and they are not changed.
 
illiniry said:
I was just wondering if any of the intraday systems traders on here find this win rate feasible? I have a breakaway gap system that seems to work very well with the target being equal to the stop, it seems to work over 65% of the time, if not higher. I know I've heard many times that anything above the 50% range is very hard to come by, but I could be wrong. What does everyone think? I'm talking about a strategy with absolutely no discretion, no trailing stop or anything, the stop and target are entered the moment the trade is put on and they are not changed.
Click to expand...

since this strategy has "absolutely no discretion", and the entry and exit are pre-determined, it would be simple matter of coding it and running it against historical data. (ideally, two separate data sets, just to be pedantic about duff data)

whether anyone considers it feasible or not is irrelevant - the back-test would be the objective arbiter.
anyway, difficult to assess feasibility without knowing the full rules. :cheesy:
 
Yes, my question is whether or not any systems traders are getting this kind of win rate in their own backtesting with a similar risk-to-reward. I'm not able to backtest this myself right now and I'd just like to know if 65% is a realistic number.
 
Where did you get the 65% data from if you haven't back-tested it?

How many forward tests have you done?

How many wins and how many losses?

What is your Aw and Al?

What are your MaxW and MaxL?

What's been the drawdown?
 
illiniry said:
I know I've heard many times that anything above the 50% range is very hard to come by, but I could be wrong.
Click to expand...

You are indeed wrong - or at least your sources are. It's extremely easy to come up with a system with a win rate higher than 50%. Now whether you can make any money with it is a whole different story.
 
This is exactly the same figures as the system I have developed has come up with. I have found it easy to come up with this figure over a week or two. I currently have a system that has done it over 6 weeks (all the data I have currently collected) and will be backtesting over 5 years in the next few weeks.

I would look deaper than just these numbers - I have been looking for something that is pretty symetrical (i.e. if it works for buys then reverse it and it should work for sells and with roughly the same number of trades and ratio), is not too patchy (i.e. it doesn't make all the wins in one day or week so the win ratio stays pretty consistent over any timefrmae), works on many markets and has few days of drawdowns.

I have finally met all this criteria and so it is possible (over 6 weeks).- I will report back in a few weeks with how it works over a decent time period.
 
north5 said:
This is exactly the same figures as the system I have developed has come up with. I have found it easy to come up with this figure over a week or two. I currently have a system that has done it over 6 weeks (all the data I have currently collected) and will be backtesting over 5 years in the next few weeks.

I would look deaper than just these numbers - I have been looking for something that is pretty symetrical (i.e. if it works for buys then reverse it and it should work for sells and with roughly the same number of trades and ratio), is not too patchy (i.e. it doesn't make all the wins in one day or week so the win ratio stays pretty consistent over any timefrmae), works on many markets and has few days of drawdowns.

I have finally met all this criteria and so it is possible (over 6 weeks).- I will report back in a few weeks with how it works over a decent time period.
Click to expand...

I find the above interesting especially the fact that you have a strategy which performs equally well on Longs & Shorts and on Multiple Markets. Maybe this is one of the benefits of Intraday type systems, which I should look into.

Currently, I trade longer timeframes and have always struggled to find a profitable system which performs in a similar way to yours. ie equally well on Multiple Mrkts and both Long / Short.

Can I ask others who have developed Intra-day systems, whether this type of performance relationship is normal or whether this particular system is unique?

Just interested...

Cheers,

Chorlton
 
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I trade 2 systems that have a 65% sucess rate or more and I trade them both live. One of the methods holds trades over night and the other always ends the day with no position. The backtesting showed a higher sucess rate but live it is about 65%. Whats more inportant than the sucess rate is the max drawdown, and money management in general.
 
Rossini said:
I trade 2 systems that have a 65% sucess rate or more and I trade them both live. One of the methods holds trades over night and the other always ends the day with no position. The backtesting showed a higher sucess rate but live it is about 65%. Whats more inportant than the sucess rate is the max drawdown, and money management in general.
Click to expand...

With your 65% success rate how many trades are you getting per 20 days of trading and are you using short stop losses?

E
 
I am testing a similar system with a risk/reward ratio of 1:1 for the last 2 years. I have made over 300 trades with a success rate of %75 and I am still not sure if it will work for another 5-6 or 10 years. Otherwise what is the point of making money for a while and lose it in the end? Market price movements are changing over the time due to the fact that they reflect human psychology. Patterns and profitability of high probability trading setups are disappearing once noticed by people like you and me or hedge fund managers trading with 8-9 figure numbers. This is also supported by trading legends like Richard Dennis and William Eckhardt (known as Master Turtles) who spent xx years in this business. (See interviews in the New Market Wizards by Jack Schwager) I am just wondering what you guys would say?
 
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mrttas said:
I am testing a similar system with a risk/reward ratio of 1:1 for the last 2 years. I have made over 300 trades with a success rate of %75 and I am still not sure if it will work for another 5-6 or 10 years. Otherwise what is the point of making money for a while and lose it in the end? Market price movements are changing over the time due to the fact that they reflect human psychology. Patterns and profitability of high probability trading setups are disappearing once noticed by people like you and me or hedge fund managers trading with 8-9 figure numbers. This is also supported by trading legends like Richard Dennis and William Eckhardt (known as Master Turtles) who spent xx years in this business. (See interviews in the New Market Wizards by Jack Schwager) I am just wondering what you guys would say?
Click to expand...


Dude,

If you have a system with a 75% win ratio that has been good for 2 years, WHY are you not trading it live?

It either doesn't work or you are a coward.
 
Coward.

Who care wheether it works for another 5-6 years, seriously.

If it runs for another 2 years and 300 trades, you ahve enough capital on teh side to realize and survive - happily - when it breaks down.
 
All I know is I win 56% of the time and make good money at it. If anybody out there can win more than that with 1:1 risk/reward I'd like to talk to you.
 
Rossini said:
I trade 2 systems that have a 65% sucess rate or more and I trade them both live. One of the methods holds trades over night and the other always ends the day with no position. The backtesting showed a higher sucess rate but live it is about 65%. Whats more inportant than the sucess rate is the max drawdown, and money management in general.
Click to expand...

Are the losses greater than, equal to, or less than your profits?
 
Rhody Trader said:
You are indeed wrong - or at least your sources are. It's extremely easy to come up with a system with a win rate higher than 50%. Now whether you can make any money with it is a whole different story.
Click to expand...
How do you mean that?
 
But instead of having a
win:loss : 2:1
reward:risk : 1:1

Isn't it better to have a
win:loss : 1:1
reward:risk 2:1
?

Just asking.
 
How does everyone get such clean round numbers for their risk:reward and win ratios? Do you have fixed stop and targets?
 
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