アルゴリズムと機械の外国為替戦略 | OneStepRemoved

  • Articles
  • Sophisticated Web Sites
  • Automated Trading
  • お客様の声
  • お問い合わせ

43 million real trades reveal the tactic of profitable forex traders

6 月 20, 2016 によって ショーンオバートン 4 コメント

Traders that follow one simple rule are 3.118 times more likely to be profitable 12 months later than those that don’t.

The critical feature of profitable traders is their reward to risk ratio. [はい], you’ve probably read that before, but this time it’s backed up with research. FXCM studied 43 百万円 real trades from traders around the world to produce this analysis.

画像クレジット: DailyFX

画像クレジット: DailyFX

Everyone “knows” を 90-95% of traders lose money. The good news is that the real percentage is noticeably lower. 83% of all traders lose money. と, that’s among the worst group. When traders use a reward to risk ratio of 1 以上, 50% of all traders are profitable after 12 ヶ月.

Be warned: the phrase “correlation is not causation” very much applies here. I cannot promise you that based on the data that using reward to risk ratios greater than 1 will automatically give you 50-50 odds of being profitable in the long run.

Logic, しかし, suggests that using good reward to risk ratios is a good idea. The advice to use reward-risk ratios above one appears in every trading book ever written for a good reason.

When traders use a reward to risk ratio of 1 以上, 50% of all traders are profitable after 12 ヶ月.

I suspect that it’s not the ratio itself that’s important. 代わりに, a large ratio discourages the worst mistakes that traders make.

I remember a project when I worked as a broker at FXCM. The systems desk analyzed the trades of the company’s most consistent losing traders. Perhaps taking the opposite signal of the worst traders might lead to profitable trades?

悲しいかな, we found something far more mundane: the worst traders lose because they over-trade.

Trading costs

Think about how trading costs apply to the reward risk ratio. If you earn $2 for every $1 that you lose, it makes scalping an impossible activity

Traders using a 2:1 ratio need to use more patience. Even though FXCM offers low spreads and commissions, 、 2:1 reward risk ratio implies further distances to the profit target. Longer pip distances lower the cost of every pip of profit.

Cost examples

FXCM averages a 1.4 pip spread on EURUSD. Let’s see how our reward-risk ratio affects trading costs using the 1.4 pip spread for our 2 examples.

Scalping

Profit target: 10 ピップ
スプレッド: 1.4 ピップ
Spread as a percentage of the profit target: 14%

Intraday Trend Trading

Profit target: 50 ピップ
スプレッド: 1.4 ピップ
Spread as a percentage of the profit target: 2.8%

Your cost as a percentage of profit in these examples are 5x higher when you scalp. それはよくありませんわ!

Holding trades with bigger profit targets minimizes the impact of trading costs. 別の方法は言いました, you get to keep more pips when you win by increasing the distance of your profit target from your entry price.

The advice to use reward-risk ratios above one appears in every trading book ever written for a good reason.

Following a reward risk ratio greater than 1 naturally pushes you towards lower trading costs. Lowering your trading costs logically suggests you have a higher likelihood of long term profitability. If you want to get other critical tips for similar results, then make sure to sign up for the Foundations of Profitable Trading Checklist.

Reward risk ratio explained

The reward risk ratio compares your average profit to your average loss. If your average winning trade is $30 and your average losing trading is $15, then you have a reward risk ratio of 2:1. If your average winning trade is only $8, but your average losing trade is $16, then your reward risk ratio is 0.5:1.

Does the winning percentage matter?

Amazingly, the percentage of winning trades doesn’t seem to matter. The high frequency trading firm Virtu is a great example of this. Virtu wins on 99.999% of trading days even though it only wins on 49% その取引の.

The FXCM data shows that the average trader wins more than 50% 時間の. EURUSD trades won 61% 時間の, while some pairs were closer to 50%. The percentage of winning trades on all currency pairs is greater than 50%.

win loss percentage by forex pair

画像クレジット: DailyFX

Despite winning more than 50% 時間の, trades with a poor reward risk ratio only had a 17% chance of earning a profit 12 months later.

… you get to keep more pips when you win by increasing the distance of your profit target from your entry price

If you’re currently struggling with your profitability, you’ve probably thought to yourself, “I need to win on more of my trades.” It’s like a business owner saying, “I need more customers.”

Smart business owners know that finding more customers is time consuming and expensive. It’s often much easier to sell more stuff to the customers that you already have.

It works the same way in trading. Instead of worrying about winning more often, you should focus your efforts on squeezing a few extra pips out of your winning trades.

If there’s anything that you should learn from this research, it’s this: the fastest way to improve is to earn more pips on your winning trades. You do ない need more winning trades to do better.

Types of strategies with good reward risk ratios

The type of strategy that you select almost automatically dictates your reward risk ratio. Ranging strategies usually have ratios less than 1, which the FXCM data shows have a 17% likelihood of long term profitability. Trending strategies have ratios greater than 1, which have 50% probabilities of long term profitability.

Ranging strategies

If you daytrade EURUSD where the daily range has recently been around 80 ピップ, then that 80 pip range is the hard ceiling of what you could possibly make in a day. You know from experience that getting the bottom tick or the top tick of the day almost never happens. If you’re lucky, you may enter within 10-20 ticks from the bottom.

Upon entry, you also need to give the trade breathing room. That stop loss probably needs to be something like 25 pips if it’s a tight stop or 40 pips in order to have plenty of breathing room.

The best exits in a ranging market occur in the middle. You don’t know if the market will push back to its ceiling. It has just as much chance as going back to support and it does up to resistance.

The mid point of an 80 pip range is 40 ピップ, but you’re likely entering 10-20 pips from the true bottom. That only gives you a potential range of profit targets from 20-30 ピップ.

The most realistic, good ratio is a 30 pip profit target on a 25 ピップの損失を停止, あります。 1.2. Most strategies will probably risk 40 pips to make 20, which is a ratio of only 0.67.

Consider what a range trading strategy is. The market is stuck. It’s having a hard time going anywhere. You should only range trade if you have a well researched strategy with a long term edge. それ以外の場合, the typical trader is 83% likely to walk away with losses after a year.

Trending strategies

Trend trading strategies should last for weeks or months at a time. Looking again at EURUSD on a multi-month time frame, the current long term range is from 1.05 up to 1.16. That’s a range of 900 ピップ, but it’s not like the market wobbles up and down through that range. 代わりに, it gets stuck near 108, then briefly pushes down. It comes back to 1.08, then pushes up to 1.12. It might push up again to 1.15, then trade back down to 1.08. It’s hard to guess whether the next move will be up or down.

long term trend

A 3,498.4 pip move in the EURUSD over a 10 ヶ月の期間.

Better long term plays are to sit on trades and let them pick a direction. The best recent EURUSD example began on May 8, 2014 で 1.39934 and ended March 13, 2015, で 1.04946. That’s a colossal 3,498.4 pip move in just 10 ヶ月.

Is there a scenario where you’ll risk almost 4,000 pips on a trade? コースではないです。. What about 1,000? いいえ! What about 500? いいえ!

The natural risk reward ratio for these types of trends is astronomically high. For a few hundred pips of risk, you can make 10 or more pips for every one risked.

As long as you’re not aggressively trading, trending strategies are far more difficult to mess up. If you can click a button, enter a stop loss and then do nothing for months at a time, then you’re qualified to consider trend trading.

The practical application is of course more difficult than that description, but that’s the idea in a nutshell. If you’re a newbie forex trader and wondering where to start, long term trends are the place where you’re less likely to get hurt.

The problem for newbies, しかし, is that they’re looking for excitement. It’s not terribly exciting to place on trade and then do nothing for months. It’s one of the paradoxes of the market that less work can often lead to better results.

How to improve your trading

The reward to risk ratio is a critical element for new traders to increase their chances of success, but it’s not the only one. ここをクリックしてください。 to register for our free Foundations of Profitable Trading Checklist. You’ll learn simple, but useful, tips to improve your trading.

以下の下でファイルさ: 外国為替市場のしくみ? タグが付いて: FXCM, profitability, 範囲の取引, リスク報酬の比率, 皮むき, トレンド

Deeper Analysis For Comparing Trading Systems

8 月 22, 2013 によって アンドリュー ・ セルビー Leave a Comment

When first introduced to systems trading, a lack of knowledge and experience leaves many traders with limited options on which system to trade. As they expand their knowledge, these traders can soon become overwhelmed by the number of systems that are out there. Deciding which system is the best fit for a trader can require a tremendous amount of analysis, and many traders don’t consider all of the proper variables when making these decisions.

Many novice traders assume that the system with highest overall return is the best system. This is almost never the case, しかし. 何度も, incredibly high returns are the product of a level of risk that most retail traders are not comfortable with. No amount of money is worth losing sleep over. The same case can be made for a system that either trades too often for the trader to keep up with, or not often enough to make any money.

When reviewing different trading systems, we want to consider their returns with respect to profitability, ボラティリティ, and risk. We also need to consider the frequency of their trading signals to make sure that all of the system’s components will mesh well with our personality.

Compare trading systems

Criteria for comparing trading systems

Profitability

The most commonly used profitability metric is Compounded Annual Growth Rate (CAGR). This takes the long term return of your system and averages it out as if it occurred in a straight line. 明らかに, the fatal flaw here is that no system is capable of producing returns on a perfectly steady basis. しかし, CAGR does give us a convenient way to quickly compare systems. You will certainly want to dive deeper before investing real money!

Another interesting profitability metric is the number of winning trades, or the Win Ratio. This is simply a percent that measures how many of a system’s trades are winners versus how many are losers. The interesting thing about Win Ratio is that systems can be profitable overall with incredibly low Win Ratios. They can also be unprofitable despite very high Win Ratios.

For that reason, Win Ratio is very closely tied to Profit Ratio. This is the average return of a winning trade divided by the average return of a losing trade. Breaking down these two components is a good way to find out how a system is achieving its CAGR.

Systems like the 3 Day HIgh/Low Mean Reversion System can be profitable despite a low Profit Ratio of 0.64 because almost 74% of its trades are winners. 反対側に, a system like the スパイ 10/100 Long Only System is profitable despite only winning on 41% of its trades because its winners are more than four times the size of its losers.

ボラティリティ

While profitability is the end goal of just about every trading system, it may come at a cost. A prudent trader will identify what that cost is and then make an educated decision regarding whether the value is worth it.

One of those costs is volatility. Some systems, like the Moving Average Crossover with RSI System または、 50 EMA の単位系 provide an excellent combination of Win and Profit Ratios at the cost of severe volatility. These systems are known to experience drawdowns of 40-50%. At that steep of a drawdown, even the most seasoned systematic trader will begin to question his system and whether markets have fundamentally changed.

Even systems with less severe drawdowns can cause traders to lose sleep. As a general rule, you should estimate the maximum drawdown you believe you can tolerate, and then cut that number in half.

リスク

Another cost of high returns can be excessive risk. Most trading systems provide the option of dialing up or down returns based on adjusting risk through leverage. Taking on too much risk in order to chase higher profits has been the nail in the coffin of many formerly successful traders.

The amount of risk you expose yourself to is one of the few things that you can actually control when it comes to trading. It is essential to your success that you constantly monitor your exposure and always keep your risk of ruin at an acceptable level.

Frequency

It is also important to consider the frequency of the signals generated by your system. This is a two-fold issue. 最初, you have to make sure that your backtesting results contain a significant sample size. If you backtest over a ten year period and your system only generates three signals, the odds are pretty good that your results will be skewed.

You also want to make sure that the system trades at a frequency that matches your lifestyle. A profitable system with low volatility and risk won’t help you if it never trades. 反対に, the same system will be equally as useless if it forces you to monitor trades 24 一日あたりの時間.

The bottom line is that there are no right answers, and there are hundreds of different approaches to systems trading. The key is to find a system that works for you and stick to it.

以下の下でファイルさ: 戦略の取引のアイデア タグが付いて: 周波数, profitability, リスク, system trading metrics, ボラティリティ

メールで無料の取引戦略

トレンド分析

申し訳ありませんが. No data so far.

アーカイブ

  • ルール
  • 外国為替市場のしくみ?
  • インジケーター
  • メタト レーダーのヒント
  • MQL (オタクのため)
  • NinjaTrader ヒント
  • Pilum
  • QB プロ
  • お金を失うことを停止します。
  • あなたの概念を歴史的にテストします。
  • 戦略の取引のアイデア
  • 未分類
  • What's happening in the current markets?

翻訳


無料の取引戦略

プライバシー ポリシーRisk Disclosure

著作権 © 2023 OneStepRemoved.com, (株). すべての権利予約.