3 ms·
Bayes is about working with incomplete information, you don't need all the data, you just need a slight edge. Just because it's not a complete analysis of all
by gnaritas 11y ago
Bayes is about working with incomplete information, you don't need all the data, you just need a slight edge. Just because it's not a complete analysis of all necessary input doesn't make it useless. Beyond that, you can directly control your win and loss size with targets and stops, so they're not necessarily unknown, and you certainly know your win/loss ratio which of course you'd want to plug in, at least for money management reasons, especially if you're using any variant of the Kelly formula for position size.
- vegabook 11y agoTrade win:lose ratio > 1 is an elementary mistake in algorithmic backtesting. Not knocking Bayes. Only saying the analysis is incomplete. Cancer/noCancer is not a good analogy.
- gnaritas 11y ago> Trade win:loss ratio > 1 is an elementary mistake in algorithmic backtesting Who said anything about that? Perhaps I was unclear, it's not about the ratio, it's about the streaks, you need to understand patterns of your wins and losses as it's critical to applying money management. If you only win 30% of the time, you could still make a killing if you can withstand the losing streaks without much drawdown or if the winners are big enough.