Gamestudio Links
Zorro Links
Newest Posts
Blobsculptor tools and objects download here
by NeoDumont. 03/28/24 03:01
Issue with Multi-Core WFO Training
by aliswee. 03/24/24 20:20
Why Zorro supports up to 72 cores?
by Edgar_Herrera. 03/23/24 21:41
Zorro Trader GPT
by TipmyPip. 03/06/24 09:27
VSCode instead of SED
by 3run. 03/01/24 19:06
AUM Magazine
Latest Screens
The Bible Game
A psychological thriller game
SHADOW (2014)
DEAD TASTE
Who's Online Now
5 registered members (Quad, TipmyPip, degenerate_762, AndrewAMD, Nymphodora), 997 guests, and 5 spiders.
Key: Admin, Global Mod, Mod
Newest Members
sakolin, rajesh7827, juergen_wue, NITRO_FOREVER, jack0roses
19043 Registered Users
Previous Thread
Next Thread
Print Thread
Rate Thread
Page 3 of 3 1 2 3
Re: Margin Warning [Re: DdlV] #447394
12/09/14 09:32
12/09/14 09:32
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
The CR is just derived from the backtest. It is not 100% "safe" - there is no guarantee that you won't need more capital in live trading. The displayed "risk" is just the distance to the stop and has nothing to do with the statistical risk of the system. The system risk is normally higher, but can also be lower than the stop distance in some cases. For instance when the system is unlikely to hit the inital stop, or when the live stop was more distant than any stop in the backtest.

I can not say it often enough: There is no real "safe" balance and no "guarantee" against a margin call. Your trading is based on statistical probabilities, not on guarantees.

Re: Margin Warning [Re: jcl] #447403
12/09/14 18:17
12/09/14 18:17
Joined: Jun 2013
Posts: 1,609
D
DdlV Offline OP
Serious User
DdlV  Offline OP
Serious User
D

Joined: Jun 2013
Posts: 1,609
Thanks jcl.

Big Picture #1: Yes, I understand your comments re. statistics & safety. I understand this is not at all "set and forget". I attempt to monitor at least daily - hopefully that will be enough so I won't get burned... Have come too close for my tastes already... frown

Big Picture #2: CR is from backtest using the given Margin & Risk settings. If Trade and Test function the same, then those Margin & Risk settings should have produced during Test trade(s) with the same displayed "risk". Evidently the Test never closed such a trade at the worst possible point, hence that risk was never realized, hence CR is smaller than if it had been. However, in real Trading that could happen which would in fact lead to margin call if the system is started with no more than the Tested CR. Is that the correct way to view/understand Test vs. Trade?

Thanks.

Re: Margin Warning [Re: DdlV] #447416
12/10/14 15:31
12/10/14 15:31
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
Partially. A backtest drawdown smaller than the stop distance is theoretically possible, but unlikely. More likely is a higher stop distance in live trading than in the backtest.

Re: Margin Warning [Re: jcl] #447424
12/10/14 17:18
12/10/14 17:18
Joined: Jun 2013
Posts: 1,609
D
DdlV Offline OP
Serious User
DdlV  Offline OP
Serious User
D

Joined: Jun 2013
Posts: 1,609
Thanks jcl. I think I get it now! laugh

But it leads to another question: Does it make sense to consider storing additional results from Test - for example the maximum risk as discussed above - basically a description of the Tested "world" - and then in real Trading compare the calculated values to these stored values to flag (perhaps via a pop-up) when the strategy is leaving its known "world" and entering a "new world", possibly requiring more Capital or needing some other attention?

Thanks.

Re: Margin Warning [Re: DdlV] #447431
12/11/14 08:45
12/11/14 08:45
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
This is indeed one of the goals system developers try to achieve - stopping a system when the market behaves differently that in the test. The problem is that live trading is always a new world. You must draw a line somewhere. A higher stop distance, as caused by an unusual weekend gap or a high volatility period, is normally harmless. So this certainly makes sense, but is a difficult matter.

Re: Margin Warning [Re: jcl] #447436
12/11/14 16:14
12/11/14 16:14
Joined: Jun 2013
Posts: 1,609
D
DdlV Offline OP
Serious User
DdlV  Offline OP
Serious User
D

Joined: Jun 2013
Posts: 1,609
Thanks jcl.

Page 3 of 3 1 2 3

Moderated by  Petra 

Gamestudio download | chip programmers | Zorro platform | shop | Data Protection Policy

oP group Germany GmbH | Birkenstr. 25-27 | 63549 Ronneburg / Germany | info (at) opgroup.de

Powered by UBB.threads™ PHP Forum Software 7.7.1