How to calculate return

[beamstas]

Isnt that 1.7% just alpha? (risk adjusted return)

Im looking for something that looks like "52%", where anything above 50% is a positive expectancy.

Yeah

Its pretty simple maths

((Avg Win*Win%)/(Avg loss*Loss%))/2

That will show 0-50% = Negative Expectancy
50%-100% = Positive Expectancy

Not sure if thats the exact one your after -- i just made it up then (but it works)

Brad

 

[Naked shorts]

whats a bucket shop?

From Wiki

bucket shop came to apply to low-class pseudo stock brokerages that did not execute trades.

http://en.wikipedia.org/wiki/Bucket_shop_(stock_market)

Its basically a bad broker. Examples are CMC markets, IG Markets etc

 

[beamstas]

$17 = expectancy expressed as dollar
1.7% = expectancy, same figure expressed as a percentage

what i think you are making reference to is %W (your percetange of winners based on the number of trades taken)

sticking with my example for simplicity.

Trades taken = 500 (100%)
winning trades = 260 (52%, 260/500)
losing trades = 240 (48%,240/500)

total $ amount of winning trades = $32,500
total $ amount of losing trades = $24,000

avg $ winning trade = $125 ($32,500 / 260 winning trades)
avg $ losing trade = $65 ($24,000 / 240 losing trades)

based on the figures in my example:
{($125 x 52%) - ($100 - 48%) = $17}

is this what you were after?

Thats just the same old formula
Expectancy = (Agv win * Win%)-(Avg Loss * Loss%)

brad

 

[Naked shorts]

Yeah

Its pretty simple maths

((Avg Win*Win%)/(Avg loss*Loss%))/2

That will show 0-50% = Negative Expectancy
50%-100% = Positive Expectancy

Not sure if thats the exact one your after -- i just made it up then (but it works)

Brad

Hey yeah, that looks like what i'm after

 

[beamstas]

Hey yeah, that looks like what i'm after

Disregard my post
If you put in obscenely high amounts of avg win compared toa small avg loss it will screw up

Don't give up on me shorts. i'll keep tinkering

Brad

 

[beamstas]

I am so stupid
(bad time to ask me maths q's thursday night when friday is a day off )

Here you go mate-- tried and true (just made it up 5mins ago)

% = (AvgWin * Win%) / ((AvgWin * Win%)+(AvgLoss * loss%))

Basically you are dividing the avg win expectancy into the total expectancy
So if your win expectancy is $100 and your expectancy is $100 your total is expectancy (win+loss) is $200, it will return 100/200 = 0.5 (break even)

If your win expectancy is $200 and your loss expectancy is $50 your total will be $250. so 200/250 = 80% (positive expectancy as is > 50%)

there you go

Brad

 

[Sicilian Trader]

I am so stupid
(bad time to ask me maths q's thursday night when friday is a day off )

Here you go mate-- tried and true (just made it up 5mins ago)

% = (AvgWin * Win%) / ((AvgWin * Win%)+(AvgLoss * loss%))

Basically you are dividing the avg win expectancy into the total expectancy
So if your win expectancy is $100 and your expectancy is $100 your total is expectancy (win+loss) is $200, it will return 100/200 = 0.5 (break even)

If your win expectancy is $200 and your loss expectancy is $50 your total will be $250. so 200/250 = 80% (positive expectancy as is > 50%)

there you go

Brad

you're a smart cookie beamstas, i didnt know that one

out of interest NS, is there a reason you were after that one? Does this serve a different purpose to the profit factor, $ or % expectancy?

im still learning about this stuff so im still a little green

 

[beamstas]

you're a smart cookie beamstas, i didnt know that one

out of interest NS, is there a reason you were after that one? Does this serve a different purpose to the profit factor, $ or % expectancy?

im still learning about this stuff so im still a little green

I didn't know it either

Brad

 

[Naked shorts]

you're a smart cookie beamstas, i didnt know that one

out of interest NS, is there a reason you were after that one? Does this serve a different purpose to the profit factor, $ or % expectancy?

I have seen it used before, so I wanted to work out my % expectancy so I could compare it to the people I have seen use it. Serves no real purpose otherwise (I'm still trolling around trying to find where i've seen it)

Oh and that equation you used before that I called alpha, isnt acutally alpha because it doesn't factor in a benchmark performance index.
http://www.investopedia.com/terms/a/alpha.asp

I've had better days

 

[Trembling Hand]

So you started the day with $22533
and ended the day with $22536.11

Quiet day.

LOL Tech no wonder you little retail traders always stay retail. You cannot add. $2323 (capital) + $20210 (profit) = $22533 :

 

[tech/a]

Educate me.

Start of day
End of day
$3 difference.
Slow day.

I can smell another $500 coming on.

Is this Realtime or a SIM
Is this a one off or a daily event?
Sim or otherwise.

 

[pilbara]

Educate me.

Start of day
End of day

B/FWD = balance from the previous period, brought forward to start the current period.
C/FWD = balance from the current period, to be carried forward to start the next.

 

[Cartman]

Educate me.

Start of day
End of day
$3 difference.
Slow day.

I can smell another $500 coming on.

Is this Realtime or a SIM
Is this a one off or a daily event?
Sim or otherwise.

arh --- now i see what u mean Tech ----- TH has accidentally put a line from the "start of day" to the end of day profit

CMC accounts --- B/forward is the daily start ---- (2 odd grand)

Mark to market is the daily profit/loss --- (20 odd grand) thats the one that matters in this exercise

beat me to it by "that much" Pil --- lol ---

 

[tech/a]

Thanks Cartman Now I see it.

That profit could have accumulated over a day/week/month.

 

[Naked shorts]

Thanks Cartman Now I see it.

That profit could have accumulated over a day/week/month.

That b/fwd is what he started the day with. So that profit was accumulated over the day, not over weeks or months.

 

[tech/a]

That b/fwd is what he started the day with. So that profit was accumulated over the day, not over weeks or months.

I dont know in this case.
But with IB your accumulated profit appears on a daily basis and can start as $20 and finish at $20K over X period before liquidating the position/s.

So it could appear exactly as this but only on the DAY I close out.
Hence the comment.