Discover and read the best of Twitter Threads about #DrawDown
Most recents (6)
Trading EXPECTANCY
New entrants to markets have a strong general belief that High Accuracy is the secret to success in trading too. Why? Because such belief system works well in almost all aspects of our normal life but very clearly NOT in markets!
Curious to know WHY?
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New entrants to markets have a strong general belief that High Accuracy is the secret to success in trading too. Why? Because such belief system works well in almost all aspects of our normal life but very clearly NOT in markets!
Curious to know WHY?
1/n
Concept of R - is a must to explain the concept of Expectancy. Now what is R?
R is simply abbreviation to 'Reward-to-Risk'.
Example - Suppose i took 10 trades and I lose at maximum Rs 10000 only in any stop loss hit.
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R is simply abbreviation to 'Reward-to-Risk'.
Example - Suppose i took 10 trades and I lose at maximum Rs 10000 only in any stop loss hit.
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Now if i make Rs 20000 in a trade i will say i made 20000/10000 = 2R today. If i lose Rs 5000 i will say i lost 0.5R today. Similarly, if i made Rs 30000 i will report it as 3R gain.
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Some metrics from our @QCAlphaOne #AAM system of #momentum investing with #ETFs
No #Leverage.
#Equity, #Gold, #GILT or #Cash.
#AssetAllocationModel
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No #Leverage.
#Equity, #Gold, #GILT or #Cash.
#AssetAllocationModel
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#MetaphysicsOfQuality iⁿtrade:
• Fixed #RiskManagement is Percentage #StopLoss.
• Such a StopLoss is -100% of the initial MarginLevel Percentage.
• So #netting may appear at -50% of MarginLevel Percentage.
• Any #LEVERAGE just offers #DrawDown —
kind of limited LOSS.
🔻
• Fixed #RiskManagement is Percentage #StopLoss.
• Such a StopLoss is -100% of the initial MarginLevel Percentage.
• So #netting may appear at -50% of MarginLevel Percentage.
• Any #LEVERAGE just offers #DrawDown —
kind of limited LOSS.
🔻
• A #lever on #fulcrum is
better than leverage!
• My #BreadthScreener™ is
not a BLACKBOX!
• It SPOTS the FULCRUM &
NABS the SHORT LEVER:
• The #BreadthScreener™ is a #non_forecasting,
#volatility-gauging,
#trading #system
• #ConstantRisk #FixedRisk #Management SURVIVES!
🔻
better than leverage!
• My #BreadthScreener™ is
not a BLACKBOX!
• It SPOTS the FULCRUM &
NABS the SHORT LEVER:
• The #BreadthScreener™ is a #non_forecasting,
#volatility-gauging,
#trading #system
• #ConstantRisk #FixedRisk #Management SURVIVES!
🔻
• Since #practice precedes #theory,
— #RiskManagement precedes #trading setups;
• Since theory doesn't make difference between theory & practice,
— Setups' forecasting don't forecast fail;
• Since practice makes the difference,
— #FixedRisk precedes #TradingStrategy setups
🔻
— #RiskManagement precedes #trading setups;
• Since theory doesn't make difference between theory & practice,
— Setups' forecasting don't forecast fail;
• Since practice makes the difference,
— #FixedRisk precedes #TradingStrategy setups
🔻
Net zero. Negative emissions. Offsetting. Climate compensation. Overshoot. This is the new lexicon.
But what does #netzero actually mean? Here are four badly drawn charts showing how different net zero strategies could have very different effects for planet. 🌍 🌲👇🌳👇 1/6
But what does #netzero actually mean? Here are four badly drawn charts showing how different net zero strategies could have very different effects for planet. 🌍 🌲👇🌳👇 1/6
Again sorry about my drawing. In 1st chart, the most extreme, emissions rise and don't come down. Near 2050 enough trees are planted to match the emissions at the year 2050.
Net zero 2050 ☑️
Cumulative emissions +148 net (crude scale according to squares in my notebook).
Net zero 2050 ☑️
Cumulative emissions +148 net (crude scale according to squares in my notebook).
Next example. State aims for Net Zero 2030. Misses it for a while. Negative emissions tech (i.e.🌳) is used to compensate the overshoot for a while. Real zero is reached before 2050.
Net zero 2050 ☑️
Cumulative emissions +52 net.
Net zero 2050 ☑️
Cumulative emissions +52 net.
Many times we would have noticed violent move in #BankNifty post 2pm, specifically on #Expiryday. What if we trade based on this breakout. Rules are
1. check day high and low at 2pm,
2. After 2pm, if day high is crossed - Buy,If day low is crossed Short,
3. Keep 100 points SL
1. check day high and low at 2pm,
2. After 2pm, if day high is crossed - Buy,If day low is crossed Short,
3. Keep 100 points SL
If we traded his #TradingStrategy every day, it has returned more than 7600 points since the inception of #BankNifty weekly expiry, i.e from 2016 June to till date. with max drawdown of -900 points.
If you dig deep, you can observe that Long trades has returned more returns than Short trades, that too on #expirydays, short trades has given negative returns.
#1
Here’s the Trade Setup for the Volatility Burst Strategy:
Volatility = ATR of the last 20 Days
High & Low Vol = Highest High & Lowest Low of Volatility in last 252 Days
Upper Band = Highest High of High over the last 50 Days
Lower Band = Lowest Low of Low over the last 50 Days
Here’s the Trade Setup for the Volatility Burst Strategy:
Volatility = ATR of the last 20 Days
High & Low Vol = Highest High & Lowest Low of Volatility in last 252 Days
Upper Band = Highest High of High over the last 50 Days
Lower Band = Lowest Low of Low over the last 50 Days
#2
Back-test reports of the Volatility Burst Strategy show that its Annual Return Percentage is 28.47%. This is what the equity curve looks like.
As you can see, it’s important to take a position at the right time. But it’s also important to know how to exit when you’re losing.
Back-test reports of the Volatility Burst Strategy show that its Annual Return Percentage is 28.47%. This is what the equity curve looks like.
As you can see, it’s important to take a position at the right time. But it’s also important to know how to exit when you’re losing.
#3
The drawdown graph of the Volatility Burst Strategy shows the maximum loss incurred.
The next step? We’re going to add a trailing stop loss and see what happens next.
#backtobasics #trading #algotrading #backtesting #volatility #indicator #drawdown #volatilityburststrategy
The drawdown graph of the Volatility Burst Strategy shows the maximum loss incurred.
The next step? We’re going to add a trailing stop loss and see what happens next.
#backtobasics #trading #algotrading #backtesting #volatility #indicator #drawdown #volatilityburststrategy
