Interesting Question

[remix919]

Ok, so let's say I have a strategy X, which has a SL of 100 and a TP of 100. When I run strategy X using ONLY buys, I get a 35% win ratio. Now, if this is the case, then if I changed it instead of buy to sell, shouldn't I have a 65% win ratio? Since it's the same distance from the SL or the TP. But this apparently isn't the case?

[garyfritz]

If your only exits are TP and SL, and SL and TP are equal, then yes -- you'd end up with a 65% win rate. All your buy-only wins hit the TP (+100) and all your losses hit the SL (-100). Reverse to a sell and all those -100 SL losses turn into wins.

That doesn't always work. If you've got tighter SLs, for example -- say you've got a 50 pip SL and 100 pip TP. Then if the market goes +60, 0, -60, 0, 100, you lose in both directions.

[remix919]

I tried it, but I apparently get a 35-45% win ratio regardless of buy or sell for some odd reason, my EA simply tells it to either buy/sell when the MACD crosses. There is a 100 SL & TP. I've attached the file if you want to take a look, my testing data if from forextester.com and I'm running it from 2012-01-01 to 2012-12-31. Very odd O.o

PS if you look near the bottom you'll see the buy/sell triggers. For now, I'm focusing just on 1 trigger, lo_1 is buy, lo_2 is sell. I just replace 1 with 2 to switch that trigger to sell instead of buy, but yea, not quite the results I was looking for :\

[SteveHopwood]

Ok, so let's say I have a strategy X, which has a SL of 100 and a TP of 100. When I run strategy X using ONLY buys, I get a 35% win ratio. Now, if this is the case, then if I changed it instead of buy to sell, shouldn't I have a 65% win ratio? Since it's the same distance from the SL or the TP. But this apparently isn't the case?

The markets move around. This might work one month then fail the next. Worse, it might work the first month to seduce you into believing the strategy is a winner, then fail the next three months..... etc

Ask yourself this: if trading were this simple would not somebody else have thought of it? Retail Forex trading has been going for some time.

[remix919]

Ok, so let's say I have a strategy X, which has a SL of 100 and a TP of 100. When I run strategy X using ONLY buys, I get a 35% win ratio. Now, if this is the case, then if I changed it instead of buy to sell, shouldn't I have a 65% win ratio? Since it's the same distance from the SL or the TP. But this apparently isn't the case?

The markets move around. This might work one month then fail the next. Worse, it might work the first month to seduce you into believing the strategy is a winner, then fail the next three months..... etc

Ask yourself this: if trading were this simple would not somebody else have thought of it? Retail Forex trading has been going for some time.

Yea, I get that but from a math perspective, shouldn't this work? because the EA is just following the price action and whether it went 100 up or 100 down, should be the same shouldn't it?

[jcl]

Yes, you should then get 65% win ratio, minus spread and slippage. Depending on the trade frequency it might be about 60% then.

If your win ratio is far from 60%, something is likely wrong with your code so that it's not a complete reversal.

[remix919]

I've attached the mq4 file above, but the EA is a very simple script that just buys/sells upon a MACD cross and the results show that it's WAY off from 60%.

[jcl]

Looking into a Empty4 EA gives me headache - I'm spoiled by using a better platform. But I think some MQL4 guru can certainly find the reason of the problem. Maybe it's some additional exit condition. I can only say that in theory, and also in practice with my own scripts here, you're right with your assumption. Reversing a perfectly symmetric system will indeed reverse the win rate when tested with the same data.

This is different of course when you trade it live. A randomly trading system will also lose when reversed.

[WideEyed]

Yea, I get that but from a math perspective, shouldn't this work?

Mathematical theory wise this shouldn't make a difference, but have you tried back testing the two over exactly the same time period? What happens?

[eigenvector]

Ok, so let's say I have a strategy X, which has a SL of 100 and a TP of 100. When I run strategy X using ONLY buys, I get a 35% win ratio. Now, if this is the case, then if I changed it instead of buy to sell, shouldn't I have a 65% win ratio? Since it's the same distance from the SL or the TP. But this apparently isn't the case?

You realize that on a 5 digit broker a 100 pip tp and sl is really a 10 pip tp and sl right? This is true because on a 3/5 digit broker Point will be 0.001 or 0.00001 rather than what you expect (0.01 / 0.0001) * stop loss or take profit.