Tag Archives: expectancy
The rolling expectation, expectancy and win rate of SPY reveal interesting facts about the dynamics of the stock market.
Everyone can use a fancy stock screener with dozens of technical and/or fundamental criteria and find a few charts that look good. It is quite possible that one will find charts that satisfy specific criteria every day due to the large number of … Continue reading
I will name this the “Trading System Inversion Paradox”. The paradox says that being a consistent loser in the markets is as hard as being a consistent winner. The proof of this apparent paradox is very easy and requires high school level math. … Continue reading
Regardless of your market and timeframe, profitable trading requires that the profit expectation is greater than zero. However, this is a requirement of profitable trading and not the secret as some book authors and academic types argue. The secret is finding … Continue reading
Some authors define trading profitability using the expected value or expectation, a.k.a expectancy. However, it would only suffice for them to say that a trading system, trading method, or even investment program, is profitable if the net profit/loss is positive, i.e. if it … Continue reading
Optimality usually refers to a solution to a problem derived with respect to some objective function. A solution that is optimal with respect to a given objective function can be non-optimal with respect to another objective function. In trading, for example, there is the well-known %Kelly method for calculating position … Continue reading