Nick Radge: Pepperstone: Achieving a positive expectancy across trading systems - PursuitOfEdge/podcasts GitHub Wiki

  • the 2 key components of any strategy are win rate and avg win/loss
  • TF: 45-50% 2.5:1, Nick's is 52%
  • momentum: 60% 1.7
  • MR: 55% 1:1, but very high trade frequency like a casino with a small edge exploited as many times as possible, 200 trades a night
  • believes trend following systems are more robust and it is easier to build a robust one, but when people get into mean reversion they start to curve fit
  • has been using a similar trend system for over 25 years that he originally built for futures
  • C > 50MA and RSI(5) < 20 and (the most important) Stretch C - 0.5*ATR(5)
  • MR is not about looking for an oversold position persay, but an expansion in volatility
  • MR tends to work better in high vola but TF tends to work better in low vola
  • bear market have high vola, so MR works better then and the TF switches off
  • BBands, StdDev, distance between 10dhigh/low
  • he used to trade long and short futures commodities, but now his TF is long-only equities