Tag Archives: win rate

Rolling Expectation, Expectancy and Win rate of SPY

The rolling expectation, expectancy and win rate of SPY reveal interesting facts about the dynamics of the stock market. Share

Posted in Market Statistics, Quantitative trading | Tagged , , | Comments Off on Rolling Expectation, Expectancy and Win rate of SPY

BlueTrend Fund, Trend-Following and Data-mining

The BlueTrend fund returned 45.78% in 2008, in a year that the S&P 500 index fell 37% on a total return basis. However, in recent years the performance of the fund has deteriorated. I first present an analysis of the … Continue reading

Posted in Trading System Design, Trend following | Tagged , , , , , | Comments Off on BlueTrend Fund, Trend-Following and Data-mining

The Market Has Not Seen a Strong Up Day for Longer Than It Has Not Seen a Strong Down Day

It is a fact that the S&P 500 hasn’t had a -2% drop in the last 68 days but it also hasn’t had a 2% rise for 193 days. The market has given bears plenty of room to escape. Share

Posted in Market Statistics | Tagged , | Comments Off on The Market Has Not Seen a Strong Up Day for Longer Than It Has Not Seen a Strong Down Day

Risk of Ruin For Dummies

A good percentage of  traders and investors get ruined because they are deceived into believing that they can be profitable in the longer term even if they are wrong more often than they are right provided they win multiples of what they lose, on … Continue reading

Posted in Risk Management | Tagged , , | Leave a comment

The Most Important Performance Measure of Trading Strategies

Shortly after my post on Kelly maximization I received a number of emails from traders who are developing systems but are, understandably so in my opinion, a bit confused about which performance criterion or criteria to use when evaluating them. I understand why those … Continue reading

Posted in Trading System Analysis, Trading System Design, Trading System Synthesis | Tagged , , , , , , | Comments Off on The Most Important Performance Measure of Trading Strategies

Maximizing Kelly is Equivalent to Maximizing Win Rate

My recent post on optimal trading using the Kelly formula has generated a lot of responses, questions and even challenges. A few readers have asked questions that, as they think, hide the key to the “holy grail” of investing and trading. However, as I … Continue reading

Posted in Trading System Analysis, Trading System Design, Trading System Synthesis | Tagged , , , | Comments Off on Maximizing Kelly is Equivalent to Maximizing Win Rate

What Every Trader Should Know About the Win Rate, Profit Factor and Payoff Ratio

Every trader should be aware that there is a formula that relates the win rate of a trading system, also known as percent profitability to some old-timers like me, to its profit factor and average win to average loss ratio, also known … Continue reading

Posted in Trading System Analysis | Tagged , , , | Comments Off on What Every Trader Should Know About the Win Rate, Profit Factor and Payoff Ratio