Martingale system
10.10.2020 17.57

Algorithmic Trading with NinjaTrader

NinjaCoding friend

Hey, Yuri, 

I've seen that you included an example of Martingale method in one of your lectures. I want your general opinion on whether Martingale is useful or not? You supposedly tested thousands of systems, so you could compare and share your thoughts. Thank you!

  • Yuri Zolotarev
    10.10.2020 20:20


    After 3-4 rounds the martingale produces a huge drawdown that can burn your deposit or make you very nervous. You can however invent different variations of martingale that can bring this factor down and be less risky. I would say the whole concept of martingale is interesting. The raw idea is simple and is extremely risky but if you add some creativity you can come out with interesting systems.

    So the raw idea is walking into the casino and doubling the bet every time you lose so that when you win you get everything you lost back. When you look at trade system performance you can extend this concept. For example, I am trading a system that has historically shown a maximum of 6 consecutive losing trades. What about doubling the seventh trade which has much more probability of being a winning trade rather than then the 6 trades before.

    You can play around with this concept and analyze performance in terms of patterns of winning and losing trades to figure out when is it better to increase position size. 

  • NinjaCoding friend
    10.10.2020 21:24

    Can you share portion of your code with martingale concept?

    I also have another idea to play around:

    Test after both won and lost trades, next trade: 1- double size, 2- half size, 3- skip one trade.