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Returns

How much to risk per trade? Returns and drawdowns.Between 1990 and June 2000 the median hedge fund (there are not that many that started in 1990) had an annual return of 16.3% and max drawdown of 28.5% according to MORGAN STANLEY. Keep in mind the 2/20 destroys profits. (16.3%*1.25)+2% =  22.4%, and 28.5-2 = 26.5%. So what the median fund actually did I I did not mess it up was get 22.4% return a year and a max drawdown of 26.5%. Of course that drawdown is the worst over a 10 year period. The S&P 500 has an annual return of 17.2% and max drawdown of 15.4%. What is interesting is to look at the details, for example the few specialist credit between 90 and 00. The smallest return one had this to show: 11.5% annual, -4.9% max down. The biggest return one had this to show: 17.4% annual, -19.4% max down. More returns but with much more drawdown. Here is the paper: www.morganstanley.com A portfolio of hedge funds, since they're not all completely correlated, would do much better than the S&P500 in particular on the drawdown side. Renaissance says their medaillon fund uses an average of 12.5 leverage and takes 8000 trades at the same time 4000 short & 4000 long to reduce risk even more. If this is true it means going in each position with 0,15% of their account. Not sure how far their stop is but has to be less than 10% of a share price, this means a risk of 0.015% per trade at most, now since there are 8000 at the same time it would be 8000 times more than this, but since there are shorts and longs it sorts of evens out and who know what their real risk is? All we know is it is very small that's for sure. But leverage costs money, and what RenTec did was since their risk was so small and they do a ton of volume, they partnered with banks that offer them extremely cheap leverage. And then they averaged 66% a year in the past 30 years, with a fund capped at 10 billion. The secret is diversification, it reduces dramatically risk which allows for better returns. But we have to come up with this diversification, not easy to find another good place to invest in, another good uncorrelated strategy. And when we find those additional sources, we are not RenTec we have to pay a big price for leverage so we cannot just scale it hard. Certain "strategies" will help reduce risk but they also cap returns much and leverage is not free so it might not be worth it depending on the person. I just want to take a look at a few non-managed "low fee" "safe" no brain funds. Examples for the 10-year period ending January 31, 2017: Vanguard LifeStrategy Growth Fund (MUTF:VASGX) has a Maximum Drawdown of 47.6% and annual return of 4.7%. UBS Global Allocation Fund (MUTF:BPGLX) has a Maximum Drawdown of 48.7% and annual return of 2.6%. This fund has the rather unappetizing combination of low return and a large Maximum Drawdown. LoL this is so bad. And all the grandpas are loving it, they think they found the holy grail and pat each other on the back. Add to this the fact that most people withdraw at the worse time... Over the same 10 years period the S&P500, returned an annualized 7.024% dividends reinvested (4.8% otherwise) with a max drawdown of 57.8% From 2000 to 2020 (september) it had annualized returns of 6.23%. From 1871 to 2019 it returned about 9% (dividend reinvested) - 6.8% if we adjust for inflation, with a max drawdown of Adolf Hitler & Auschwitz the ultimate price. So we're about in the average with 6%. Growth is slowing down (demographics, tech limits, earth limits...) so we will probably average less than 6% in the future. From 2007 to 2017 the top strategic DIY portfolio recipes had returns of ~typically 11% with max drawdowns of also about 11%. Ray Dalio pure alpha 2 has returned 11.5% / yr in the last 20 years and max drawdown I'm not sure I think it was 8% recently and much less before that. Those numbers are hard to find seriously... But well we get an idea of how far it can get pushed. An article from 2017: "Investors earned an average of 4.67% on mutual funds over the last 20 years (Source: www.creditdonkey.com)" of course there is no mention of drawdown because who cares am I right? Mutual funds are not for the best & brightest of investors. Big risk is not a magic trick. "Big risk" does not mean "big return but with big risk". It means NO returns. It means losing with a winning strategy 😂.
Education
by MrRenev
1
1st Quarter Real-time Results of Trend King + 50%It is exactly 3 months since Trend King was publicly released. I am happy to announce the 1st quarter real-life results: ⬆️ +50% That's over +400% annualized ROI. 🤛25X #Bitcoin buy & hold returns with no leverage. A $10K investment --> $15K = subscription fees paid off multiple times over. This includes trading fees 60% higher than BitMEX and Binance and allows for each Trend King version release capability only as they became publicly available. Contact me for access to: - The TradingView Indicator - Automated solutions
BITMEX:BTCUSD.PLong
by capriole_charles
6
Introducing “Trend King”. The alpha generating strategy built fTrend King “Trend King” combines 4 proprietary indicators. It buys and sells based on: Short-term momentum Long-term momentum Volume compression Volatility breakouts The strategy was built on 2 years of BitMEX data (XBTUSD) and backtested on 9 years of Bitcoin data (BLX). Finally, the strategy was validated on multiple large market cap cryptocurrencies, including Ethereum (ETHUSD), without parameter adjustment. Strategy backtesting checks include: Used 0.12% fees. 60% more than the actual BitMex/Binance fees of 0.075%. No Heikin-Ashi Candles (to avoid fake results) No Stop-losses (to avoid fake order execution) Market Orders Only (to avoid fake order execution) The results speak for them self. See the positive excess return from the “Trend King” strategy returns versus a simple Bitcoin “Buy-and-Hold” strategy. Best functionality on the Daily and 4HR timeframes. **For Access: Contact me on TradingView or Twitter.
BITMEX:BTCUSD.P
by capriole_charles
14
The REAL reason 90% fail.I already posted that the average trader at a big broker (FXCM) had a negative expectancy. Their risk rewards are around 0.5-0.6 with winrates of ~ 60%. This means for each dollar they make they lose 1.22. Their Profit Factor is ~ 0.82. 4 lose 6 wins each win is $30 each lose is $55 ==> Profits = 180 Losses = 220. So this explains why the average loses. But not every one makes those mistakes. And someone might learn from them, or even just flip a coin. Why do so few cut it? Simply "emotions" and never learning and all the things "trading educators" throw at us? Come on, apart from the very worst, if someone gets hit enough times he will learn his lesson and want to do the opposite. And we know there are plenty that blow up and keep coming back, regardless of negative results. Why is it as high as 90%? What more could there be to it? Let's look at this data that was provided. We can see the GBPUSD ATR was around 80 pips. FXCM Data: Traders captured profits on 59% of all GBP/USD trades. Yet they overall lost money as they turned an average 43 pip profit on each winner and lost 83 pips on losing trades. Losers are 1 ATR (they hold for the whole day / 24 hours on average), Winners are half an ATR (held for half a day on average) We can see the EURUSD ATR was around 100 pips. FXCM Data: We see that EUR/USD trades were closed out at a profit 61% of the time, but the average losing trade was worth 83 pips while the average winner was only 48 pips. So about the same as GBPUSD, the average losers is around 1 day, the average winner half that. Spreads are at least 1 pt and 0.01%, I think they were not much higher back then. On some pairs (that they trade on the same time horizons), spreads go up to 0.05% - for a similar ATR. For gold spread is 0.03% but the ATR is a bit higher. So typically, if we bring everything to 1% ATR, the spread is around 0.025%. Let's say we have a daytrader, he has no edge, positive or negative, so his expectancy is to breakeven. He has a small account and doesn't want to be here for the rest of his life grinding, so he uses 10 leverage. We ignore the fact that using leverage reduces his expectancy. He takes 4 trades a day. This is far below what most "day trading educators" do. In a period of 3 months he has taken (around 65 days) 260 day trades with a breakeven strategy. 0.9975^^260 = 52%. So he lost 48%. For info: The problem is not spreads and commissions, they are fine... Alot of day trading educators go for stocks, with spreads of 1%. And commissions of $10 (5+5) on their 10,000 orders (0.1%). They are using more zero comissions now, but they pay it in slippage, just worse fills generally, and bigger spreads. Educators take like 20+ trades a day (on their demo accounts). At a gentle, over optimistic 0.25% loss on every trade to fees, in 2 months (45 days) with 20 trades a day this is what happens: 0.9975^900 = 0.10. Down 90%. Or did they find the holy grail that gives them a big expectancy to counter the cost AND a ton of setups at the same time AND they take a ton of trades a day so clearly they aren't doing massive research each time? Usually even if you can get a good expectancy then you will get less setups. The better the profit factor (winrate and risk reward), the lower the number of opportunities. So they have the absolute holy grail. A large expectancy. They get a ton of signals. And little effort since they can at most spend a few minutes analysing to get this golden setup. So we could call it easy and no brain. Hmmm, an easy no brain super expectancy strategy, that fires signals every few minutes... Ye sure. And it keeps working, no one found it. And they are teaching this to every one for a few hundred or thousand bucks. THE holy grail. Yep, sure, why not. Seems totally legit. XD What if you were to take 1 trade a day, stop and target 0.50%, with 53% winrate, that's a winning strat: 53 wins 47 losses. 10 leverage. Spreads of 0.02%. 100 trades in 4 months. (0.998^100)*(1.05^53)*(0.95^47) = 0.975. Lost 2.5% on a winning strat. MORE MORE MOAR. To go faster. Only thing that will go faster is you'll lose money faster. With 52% winrate. (0.998^100)*(1.05^52)*(0.95^48) = 0.88. Can quickly go wrong... A difference of 1 winner becoming a loser ruins it. If you are curious, my own average loser, it varies alot so I don't know for sure, but 40 points is typical, so same as their average winner. Average winner is 200 :) About 2 daily ATR is what I get on average on winners. A little over 1 to a little over 3. I would like to have bigger winners, and spend more time analysing fewer currencies or commodities, focus more on babysitting winning trades than exhausting myself looking and looking and searching, my goal if possible is to increase my time horizons. But anyway, spreads and losers are just small costs that stack up, but winners pay for that, and spreads don't reduce my winners by 10%. You might think "hey in prop firms they day trade alot" Well here is my answer: A) They are using big money to make money. They are not making 500% on 50k accounts. More like 1 to 20% on hundreds of millions. If you start small and want to grow this does not help. B) They have alot of advantages they pay for (faster connection to exchange, they can negociate costs, prime brokerage, top research/info, etc). C) They are going down under ALL THE TIME. D) Most famous funds with best returns are quants, long term investing, swing/position trading hedge funds. Not day trading prop firms. E) You ever seen a prop trader results? $50,000 net profit. Wooo nice. Gains: 800,000. Losses: 550,000. Commissions & fees: 200,000. Bleuarg. Not counting other costs... Solution ==> 1- Bigger winners. Small winners means that 10% or even more of it can vanish to fees. The bigger, the less impact fees will have on it. 2- Look more for high quality, high odds setups, spend time being a detective doing your research, and then be a sniper 1 bullet 1 kill, not some pleb holding a machine gun over his head and firing at random. 3- Gains won't "compound faster" by reducing time frame. Losses will. Haven't heard of any famous trader that was buying and selling every few hours. Pick a timeframe high enough so that you have time to study setups, get high quality ones once in a while, and spreads don't make much of a difference. You can't grow faster by going in bigger, or more often. Simple maths. Only thing that will improve results, is... tada! Improving. Less is more.
Education
by MrRenev
1
1 reason why institutional money will NEVER go big on PonziCoinWe compare a BTC baggy speculator to a largely diversified fund. We assume risk rewards are the same and on 1 side the BTC baggy takes 2 huge trades over a 2 year period, the diversified fund has 200 positions in total, in bacthes of 10 that are held approximately 10 weeks each. This is quite similar to reality. I also compare the 2 time BTC gambler to a speculator that takes 10 smaller trades instead of 2 huge one, and demonstrate that even this small difference makes a HUGE difference result wise (spoiler: he makes 75 times as much money). 45% to make 125% once/once 100* 0.45 to make 100*1.25 0.45*2.25 = 1,0125 (amazing) For the smart speculator the formula (0.9955^100)*(1.0125^100) is incorrect it assumed every trade is compounded. Let's look at a speculator that holds 10 position at once. Because (1+x)*(1-x) = 1 - x² < 1, and the bigger the loss the harder to comeback (lose 1% only need to make 1.01% - 1% more only to breakeven, lose 50% need to make double that (100% more) to breakeven), I'll affirm without going into too much details that: The best case scenario is in each batch of 10 trades the speculator wins 5 loses 5 The worst case scenario is the speculator loses all trades in 10 batches of 10 in a row & wins 10 of 10 in a row. Best case scenario, he makes 20 times 0.9775*1.0625=1,03859375 (0.45*5=2.25 and 1.25*5=6.25). Note how this is already more than the amazing Bitcoin total returns. 20 times this compounded is => 1,03859375^20 = 2,13. Worst case scenario 10 times 0.955 then 10 times 1.125 => 2,049. The diversified speculator doubled his money. The dumb moon chaser that got "the bull run of his life wow such big % best performing asset" broke even. I just want to bang my head on the wall when I hear "best performing asset". There was a guy on tv that said this. OF COURSE he also smiled like an idiot. OF COURSE he made no sense zero logic. OF COURSE he uttered the incredibly stupid sentence "If I knew how to predict the future I would not be here I would be at the beach". I can compare it to a third, that only takes 10 trades in total in 2 years. Risked 9% each time to make 25%. 0.91^5*1.25^5 = 1,9044. Almost doubled his money. Of course most Bitcoin dumb money is not risking 45% to make 125%, they are risking 100% to make "moon". I wonder what returns they believe can give them (all by the way) 100% back. Oh but of course "it will never happen". They will grow old holding their bags to zero and vanish into oblivion. And let us not forgot that idiotcoin does this: And let us not forget that idiotcoin price action shows INFERIOR setups to what we regularly see elsewhere. I assumed for this that baggycoin had as good risk rewards, but here we can see this is not the case. This is just 1 example but it is always like this... So things are actually even worse... Nice, wait months and months of flat price action for this crap? When there are much better opportunities based on the weekly chart too on a DAILY BASIS? "Uuuuh but price only went up 4% my retardcoin went up 8900%" - Mathematically illeterate simpleton that also has no clue about leverage (if he really wants a one time big number due to mathematical illiteracy). And since all crypto are correlated and alts are unpredictable, no self-respectable fund is going to go more than 1, maybe 2 percent, in crypto. Oh I said self-respectable, not that would be zero percent. I mean the crazy ones. If big money comes in (Soros) it is either small (Rothschilds that are trillionaires put 100k in emmm do BTC baggies know what percentage this is? They probably have more spare cash in their pockets), OR they are in to extract as much money from baggies as fast as they can (Soros broke the bank of england). There is ABSOLUTELY NO REASON for professionals that want to make money to go in BTC buy&baghodl. They can make more with less risk. They also know this is an unethical ponzi scheme and often have a reputation to protect. But I won't get started on other reasons they will not throw money at retail "believers". One day they will realize that the people pointing & laughing and calling them idiots were not just joking but meant it, and they were not 'just mad they missed out', and it will hurt hard. They are going to fall from so high. It will be like the 6th elements, they will realize they were the suckers all along. I preped my pop corn and I cannot wait. Going to be very amusing.
BITSTAMP:BTCUSDEducation
by MrRenev
5
ok , a proper review of rippleok, most of you know i am self taught. Here we go. Ever since Nov 16, and unlike others, Ripple has been climbing within an ascending revers pennant pattern. As of this writhing , it still sits comfortably above the macd red line , which have both made a stunning move upward today. Aroon has been topping several times today , with it's red line down nearly completely. The Adx/dms flirted between white and green as it rose topward , well above the red line. I drew the channels out on the chart, which i hope you can see here. Ripple seems to be the alternative to bitcoin and other once high value and stagnant currencies that people don't want at the moment, and they are discovering that it wouldn't take much for ripple to be the instrument all the burnt f.o.m.o. people may have been looking right at all along. Investment in ripple, whose price is on the increase could cause it to double, triple, and so on until the sort of returns the crypto community has been looking for since early this year. 50 nearly happened today and it CAN , and once that barrier is broken the sky is the limit IF the community treats it that way. Good luck out there. My opinion** Caveat Emptor Fortis fortuna adiuvat
BITSTAMP:XRPUSDLong
by Cryptocautious
Boeing a Stock with PotentialNYSE:BA continues to expect at least 810 airplane deliveries this year, which would be a company record . It delivered 378 airplanes in the first half of this year, so the company is only about half way to its closely watched goal. They reported Q2 earnings of $3.33 per share vs. $3.26 per share forecasted by financial analysts. Reported revenue : $24.3 billion vs. $24.04 billion forecast by financial analyst. NYSE:BA improved its adjusted earnings per share and revenue from the same period a year earlier, with the former up 34 percent and the latter up 5 percent. Stock price ranges from 325.00$ to 360.00$ from the beginning of the year and is now trading towards the resistance line, there is growth potential to upper line of the channel at 365.00$ and possible breakout. And if the stock can breakout, we coul expect it to reach 415.00$ level. Additionally if a company will report strong Q3 and Q4 earnings , we could see price go up to 515.00$ level . LIKE the idea if you wish me to update it!
NYSE:BALong
by iglanbo1899
Litecoin: LTCUSD Far Eastern Interest Returning / DominatingLitecoin: LTCUSD Far Eastern Interest Returns Timings on LTC show strong far East interest re-emerging. That surge of green on 14th began at midnight gmt/19:00est just before markets opened up as early birds caught the worm and price began to fly high through two lines of old resistance before topping out at the 233 line, at 21:00est just 30 or so minutes after far Eastern markets had all opened are strong clues. These markets are still in overall control of this coin and their returning interest has to be good for LTC longer term. But in shorter term Litecoin is unwinding an overbought condition by trading sideways in the range dominated by resistance at 233-237 at the top and two lines of support at 215 and 207 at the bottom of the range. But very nearterm support lies at 223 which must hold if it's to avoid rinsing off back to 216-215 during the course of the day if buying interest continues to wane - and may get forced back to 207-206 at worst if 215 in turn gives way later today - but if so look to add as these levels are touched in the quiet period leading up to midnight gmt/19:00est. Alternatively, should these lower levels not get touched and LTC can hold up all day at 223 and above it can be bought on a successful breach of the little dynamic resistance line running above price on this chart with stops below the same line, just under 223 if the break occurs sooner than midnight gmt/19:00est.
BITSTAMP:LTCUSDLong
by sumastardon
3