Recent content by fjpenney

If you don't have Howard Bandy's books you should consider buying them. Howard discusses means of performing statistical analysis on returns in order to determine if a system is still working (i.e. has a positive expectation). Sometimes the market goes out of sync with a strategy. How long it...

There's usually a "yes but ...". Yes to what you just said but just because a system has worked for the past X years doesn't mean it will work forever. I suspect you are well aware of how to use a Monte Carlo analysis to determine if the past number of trades fall within the expected range...

LN = natural log (http://en.wikipedia.org/wiki/Natural_logarithm) In Excel, to get the natural log of 5,000 you would enter the formula =LN(5000) If a trading system has a 60% win rate and you want to know what the expected maximum number of consecutive losses over 5,000 trades is you would...

I ran MC analyses on sample sizes of 100 trades. In order to do that, I had to generate trade lists. In so doing, I had to make assumptions about the standard deviation of the trades since the information isn't provided. I suspect the OP intended for the SD of both systems to be the same...

Expected number of consecutive losses = LN(Number of trades)/-(LN((1 - Win Rate))) For a 60% win rate you would use 0.60 in this equation.

Alternatively, you could run a Monte Carlo analysis in which case you would find the returns are very similar but System B would have a higher drawdown. In my analysis, System A had a Return-DD of 2.38 versus 1.55 for System B. Given almost identical returns, one would chose the system with...

I keep track of my trades by strategy. It can be a real eye opener to review trades in a journal when they are sorted by strategy. You will see which strategies are making money for you and which ones you should drop. As Nick Radge said, you should do more of what you are good at and less of...

That's why you have to monitor the system health of each of your trading systems. There are statistical processes for this and these processes can inform you when you should stop trading a given system. Likewise you can also determine when to start trading a system that you had previously...

That was the best post I have read on ET over the past number of months. Fred

DR Barton advised against trading TVIX only a few days ago. http://www.vantharp.com/Tharps-Thoughts/569_Mar_21_2012.htm <i>This is particularly true when strange upsets happen. Just fourteen months after its inception, one volatility fund (TVIX) became so popular that it was trading more...

Just do a Google search for a comparison of 2007 and 2010 and you will find a number of reviews that determine 2010 to be faster. I find there is a significant difference running backtesting that takes 10 to 30 hours to perform.

One way to deal with Bomb's criticisms would be for system designers to demonstrate that they are trading their own accounts using their trading system as per the posted trades on C2. There has been discussion on the C2 site about this but I haven't seen any interest by the site's owner. Fred

C2 is a platform for trading system designers to post their trades. As far as I know, there is nothing on the site to suggest that the trading rules will not be modified after a system designer starts posting trades. How many of us are using the exact same trading rules that we were five years...

Of course a system can be changed. Trading systems on C2 aren't meant to be hard coded forever. Some systems are mechanical and there is nothing to prevent the system designer from changing the algorithm. A system administrator can close all open positions and therefore turn off the system if...

I'll second that. Fred