Pip gain and draw down ratio

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Length of position held , pip gain and draw down ratio

http://www.myfxbook.com/community/suggestion-box/length-position-holding-vs-pips/47597,1
''Length of position held''

http://www.myfxbook.com/community/suggestion-box/add-column-for-draw-down/52604,1
''Pip gain factor''

http://www.myfxbook.com/community/suggestion-box/length-position-holding-vs-pips/47597,1
''Length of position''

http://www.forexfactory.com/showthread.php?p=4011537#post4011537

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On Sep 18, 2:36 pm, backspace <stephan...@gmail.com> wrote:
> Length of position held , pip gain and draw down ratio
>

> http://www.myfxbook.com/community/suggestion-box/length-position-hold...
> ''Length of position held''
>
> http://www.myfxbook.com/community/suggestion-box/add-column-for-draw-...
> ''Pip gain factor''
>
> http://www.myfxbook.com/community/suggestion-box/length-position-hold...

> ''Length of position''
>
> http://www.forexfactory.com/showthread.php?p=4011537#post4011537

http://www.myfxbook.com/community/suggestion-box/length-position-holding-vs-pips/47597,1

159 posts Stephanus Rensburg (stephanusR) a moment ago
Another idea is to merge the length of time held factor with the pips
gain : draw-down factor , if a position remains in draw down for to
long and subsequently rallies, any such rally would be more due to
random luck then market insight. See
http://www.myfxbook.com/community/suggestion-box/add-column-for-draw-down/52604,1

1) The length a losing position was held must be factored. If a losing
position takes to long to rally then the "random luck" factor
increases. Each trade is assigned a "random luck" factor weighted for
equity used, meaning a standard lot will have more impact on this
factor than a micro lot. The overall account is assigned this averaged
out "random luck" factor.
2) Length a winning position was held expressed as single number
weighted for all trades. Holding a micro lot for one year on a equity
of $10000 should have a very small impact.

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On Sep 18, 3:07 pm, backspace <stephan...@gmail.com> wrote:
> On Sep 18, 2:36 pm, backspace <stephan...@gmail.com> wrote:
>
> > Length of position held , pip gain and draw down ratio
>
> >http://www.myfxbook.com/community/suggestion-box/length-position-hold...
> > ''Length of position held''
>
> >http://www.myfxbook.com/community/suggestion-box/add-column-for-draw-...
> > ''Pip gain factor''
>
> >http://www.myfxbook.com/community/suggestion-box/length-position-hold...
> > ''Length of position''
>
> >http://www.forexfactory.com/showthread.php?p=4011537#post4011537
>

> http://www.myfxbook.com/community/suggestion-box/length-position-hold...

>
>         159 posts Stephanus Rensburg (stephanusR) a moment ago
> Another idea is to merge the length of time held factor with the pips
> gain : draw-down factor , if a position remains in draw down for to
> long and subsequently rallies, any such rally would be more due to

> random luck then market insight. Seehttp://www.myfxbook.com/community/suggestion-box/add-column-for-draw-...

>
> 1) The length a losing position was held must be factored. If a losing
> position takes to long to rally then the "random luck" factor
> increases. Each trade is assigned a "random luck" factor weighted for
> equity used, meaning a standard lot will have more impact on this
> factor than a micro lot. The overall account is assigned this averaged
> out "random luck" factor.
> 2) Length a winning position was held expressed as single number
> weighted for all trades. Holding a micro lot for one year on a equity
> of $10000 should have a very small impact.

The time it took for a trade to rally and the draw down incurred must
be combined and rolled into a single number to quantify the account
and differentiate it from gambling as opposed to market insight.

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http://www.myfxbook.com/community/suggestion-box/length-position-holding-vs-pips/47597,1

Another idea is to merge the length of time held factor with the pips
gain : draw-down factor , if a position remains in draw down for to
long and subsequently rallies, any such rally would be more due to
random luck then market insight. See
http://www.myfxbook.com/community/suggestion-box/add-column-for-draw-down/52604,1

1) The length a losing position was held must be factored. If a losing
position takes to long to rally then the "random luck" factor
increases. Each trade is assigned a "random luck" factor weighted for
equity used, meaning a standard lot will have more impact on this
factor than a micro lot. The overall account is assigned this averaged
out "random luck" factor.
2) Length a winning position was held expressed as single number
weighted for all trades. Holding a micro lot for one year on a equity
of $10000 should have a very small impact.

The time it took for a trade to rally and the draw down incurred must
be combined and rolled into a single number to quantify the account
and differentiate it from gambling as opposed to market insight.

Trading periods should also be tagged as either being in a trend,
counter trend or break-out. This is done to differentiate accounts
that traded in the direction of the trend only , but not yet in a
counter trend. A trader must be able to trade a ranging and trending
market.

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http://www.myfxbook.com/community/suggestion-box/length-position-holding-vs-pips/47597,2
"....It's obvious that not a single trader will obtain correlation
close to 1.
In my opinion the main use of such statistic is separation scalpers
from swings, long terms and "scamer-scalpers". ...."

Reply:
It is up to the evaluator of the system. Myfxbook.com won't implement
it though because the site is driven by ads. One would have to have an
automation script that automatically downloads all the top 100 CSV
files and then run an excel, python script to generate this number.
Same problem with collective2.com, they don't present the trading
stats in such a way that the true (risk: reward) ratio is clear.
Risk:reward quantifies the long term sustainability of a trading
method, its statistical edge.

If we can reduce a jumbled mass of numbers to a single ratio we would
make significant strides in enabling investors to make an informed
investment decision as opposed to a gambling decision.

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On Sep 18, 10:04 pm, backspace <stephan...@gmail.com> wrote:
> http://www.myfxbook.com/community/suggestion-box/length-position-hold...

Scalping, swing trading methods would now be quantified in the same
manner for their statistical edge. In other words if you scalp for
1pip, then your draw-down had better be 1pip or what ever draw down
one would find acceptable. Lets presume your win rate is 90%, pip gain
is only 5, with a draw down of 10 and SL of 20. If the win rate is 60%
but the pip gain is 50 with a draw down of 10 and SL of 20 then a
better risk profile is demonstrated. We need to combine stated SL at
entry of trade, average TP, draw down and period held to compensate
for the "random luck" element in trading.

A system must state the SL at the entry of the trade or we wind up
with a situation of multiple open positions that the trader hopes will
eventually close for a profit , incurring large draw downs in the
process. Any subsequent gain would then be ascribed to the "random
luck" factor.

Most would agree that it is remarkable how complicated it can be to
find a system that generates an engineered return on equity and not a
gambled return on equity.

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Tradewise drawdown in Pips. Discussion

http://www.myfxbook.com/community/suggestion-box/tradewise-drawdown-pips/24239,1
It would be great if you can indicate in the trade history section,
for each trade, the drawdown number of pips.

eg : lets say there's a trade which has closed @ +50pips. it may have
had a drawdown of -20pips before it closed.

I believe this information will be extremely useful to traders to
constantly fine tune their risk management.

However, u need to keep in mind that it has to be specific to the
broker concerned.

I hope you will be able to implement this feature.

Thx.

Tradewise drawdown in Pips. Discussion in MT4 - http://codebase.mql4.com/6217

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http://www.myfxbook.com/community/suggestion-box/consolidated-reporting/31508,1

Consolidated Reporting. Discussion

44 posts RWFX (ranesh) May 29 at 01:39
WITHOUT changing the current layout of the Trading History section,
can you only add an additional column to the end and group the trades
by closing date and show for the day : nett pips, nett profit, nett
gain

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http://www.myfxbook.com/community/trading-systems/ma-six/43636,1

How many Oanda sub accounts do you have and are you running an
automated system using the oanda API? You have a good return on equity
for the period employed, but need to have month on month of positive
returns for at least 12 months to fully reflect the trends, counter
trends and break-outs the market will experience. Just one month of
negative equity would be red flag. Best of luck in your trading. 41
winners out of 42 is very good, but myfxbook needs to display the draw-
downs of each individual trade weighted as % of equity as discussed in
the suggestion box.

This is your http://thesixthrule.collective2.com system , do you have
say 200 systems scattered all over the internet ?

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http://www.myfxbook.com/community/suggestion-box/tradewise-drawdown-pips/24239,1

<span class='quotes'>ranesh posted:

It would be great if you can indicate in the trade history section,
for each trade, the drawdown number of pips. eg : lets say there's a
trade which has closed @ +50pips. it may have had a drawdown of
-20pips before it closed. I believe this information will be extremely
useful to traders to constantly fine tune their risk management.
However, u need to keep in mind that it has to be specific to the
broker concerned. I hope you will be able to implement this feature.

</span>

This must be combined with the win rate. If your win rate is 80% and
your pip gain is 10 pips(TP) for a SL of 10 then you will gain 60pips
from ten trades. If your win rate is 50% you will gain 0pips from ten
trades. Furthermore the win rate must be weighted as % of equity. At
Oanda you could execute 1000 one penny trades which is conflated with
lets say 2 standard lots , misrepresenting the risk that went into a
trade. The win rate calculation on these 1002 trades would be
meaningless. Each trade must be assigned a "risk" and "random luck"
factor, which will take equity into account.

When you short the euro with one penny on Oanda, there is no risk
involved. The trade on its own is meaningless . One is trying to
quantify the risk/reward ratio of a system.

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http://www.myfxbook.com/community/suggestion-box/equity-status/52521,1
Could it be shown how low the 'equity' went during trading session:
So for an example, in a week of trading at some point the equity went
down to 9% of the balance and that is the lowest it has ever been,
could it be shown as - Equity Lowest - 9%?

http://www.myfxbook.com/community/suggestion-box/show-lowest-equity-ever/45941,1
I suggest to show the lowest Equity% ever achieved, like you have the
highest balance ever.
As you already show the current Equity% next to current Equity, it
should be easy - add an extra line, and if(LowestEquity% I think thats
one of the best ways to check profitability against DD (huge open
losers)

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The (pip gain:draw down) ratio must be scaled relative to equity. This
will also help in identifying a system using excessive averaging down
or martingale strategy.

In a martingale system buying into a declining euro , each successive
trade is doubled ,at some point the drop in the euro will stop and
reverse back up again. The last trade will have a very good (pip
gain:draw down) ratio , but the entire open position could have a very
large draw-down. Thus the larger the overall draw-down was with a
specific euro entry the more must a the (pip gain:draw down) be
weighted negatively to compensate for the risk exposure.

Assign each trade a fixed SL level, thus each trade has a max
potential loss as % of equity. Scale the (pip gain:draw down) ratio
with this equity risk.

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http://bit.ly/9qvkji

What I like about the chart thus far is 15 trading sessions with not
one of them seemingly in negative territory. If you can keep this up
it would indicate engineered trades as opposed to gambling. But we
don't know the history of the trades which is acceptable if you don't
want your method reverse engineered. There are large trading gaps
which probably means you kept losing positions having large equity
draw-downs for days on end. This would be a negative sign because the
longer a trade takes to become a winning trade , the more the "random
luck" factor increases.

We need a fair trade-off between preventing the reverse engineering of
a method and demonstrating engineered trades. Between 31 Aug and 10
Sept we have a large trading gap, which most likely indicates losing
trades, or winning trades that you allowed to rally with the trend.
Thus that trading gap must display the equity, we could compress those
ten days into a single day with a different color such as blue for
positive equity or red for negative equity.

You also need to show the balance and actual profit made if you want
to have PAMM investors. I would say an account should be at least
$2000 to reflect the psychological effect of making gains as well as
losses that are material. Making one penny on an Oanda sub-account of
$100 is good for testing a method but meaningless in the real-world
where you would have to deal with real people who's $5000, $2000 or
$10000 you would be trading.

Best of luck, I will be following your account with interest and think
of ways to provide us with more insight into the risk your trades
incur without having to reveal your method or history of actual
trades .