Thoughts on the mathematical expectation

Let’s apply some theory by taking the average results and see what we can achieve compliance with only the expectation of our trading system, without the super deals.

Initially, we 10C stop in the action, but given the slippage on the average 12S
Commission set 0.006S
Profitable trade is 45 °
Ratio of about 1 to 4 obtained
The position of 1000 shares with us
Consider the 2 options:
A) The first 3 deals with us always in the minus 12C for 1000 shares is $ 120 to $ 132 commission. The fourth transaction, plus 45 ° always.
B) The first 2 deals with us always in the minus 12C for 1000 shares is $ 120 to $ 132 commission. The third transaction, plus 45 ° always.

Suppose that on average we make 10 transactions a day.

Through 1000 transactions, if commit an average of 10 transactions per day = 100 days in the first version we will earn $ 10,500, but the second we’ve already earned $ 57,810 in view of the commission.

Of course this is just a theory and in reality things differently, but if the mathematical expectation, we can achieve good results making smaller deals.

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nyse    Trading strategy     12s, 44000, compliance, expectation, profitable trade, slippage

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