Recent content by SystemsTrader

First you calculate the continuously compounded daily return: ln(price today/price previous business day) Next use excel's stdev function and highlight the array of daily returns. This will result in the daily standard deviation. To translate it into a specified number of days, then...

I see many people discuss correlations and some choose to use price while others focus on returns. I use returns due to an argument that I have referred to as the "law of one price" which simply suggests that comparable assets with comparable risk/reward characteristics (2 companies in the...

I have seen the system do all that you are referring to and it will probably be released by summer... my very unofficial guesstimation.

Please include me in this forum.

I could help you do this. In my trading, I do an enormous amount of automation. This includes getting data from a variety of different market data vendors via a DDE or API, running this information into Excel against a trading strategy, generating trading signals and incorporating advanced...

So if me and 20 other guys open our accounts with 5k each (total of 100k of trader capital) and then one of these guys takes a 50k hit then what happens? Does this extra 45k hit go against firm or trader capital? Would Lynx make available how much capital it has to protect my account from...

When working with a prop firm, there is no SIPC insurance so how can one determine how secure his capital account is? Can anyone comment on the sub-LLC arrangement at Lynx with regards to the security of my capital? If one trader blows up far beyond their own capital account, what is...