Recent content by Terrylee

limitdown I actually don't understand why quants are paid so much. Anyway, I do run my own investments. Sorry if I offended you and the readers of this thread by asking silly questions. I won't importune you with them anymore. Wish you well. Terry

limitdown A mixture model is an ensemble of functions which number, location and parameters have been chosen to represent the density in a data set. The functions (also called kernels) can be any kind of distribution. This applet shows an example where you can choose a Gaussian or a line as...

I looked into Discriminant analysis already because of its stepwise extension. However, the need for the covariance matrices to be homogeneous was a show stopper. Instead I used a Latent Dirichlet Allocation Model for witch the word count was replaced by the co-occurrence of cycles in different...

Good to hear from knowledgeable traders! My definition or regimes is quite loose but more signal oriented than practiced in academic spheres; as long as they represent recurring and hopefully reliable behaviors. In this particular case it is based on the observation that cycles shift from one...

It may not be the right place to ask. I have cycles very good at picturing market regimes which I trade manually quite successfully. I like to automate part of it and started reading about Dynamic Mixture Models as a mean to switch from one regime to the next. It looks like these models are...

Should I read between the lines and conclude that this thing works?

Well! You bring an interesting point! I have been trading for more than 10 years knowing that edges do not last; I cannot afford to wait.

Does anyone have experience with Noxa's Causal Singular Spectrum Analysis? They seem to bring a fresh new approach to trading. What do you guys think of it? Is it as good as it looks? www.noxapredict.com

There is no such thing as holy grail but stuff that eventually works better than average. Here is an example of what I do with trends: For each parameter of my system: - I do a trend segmentation - I build a matrix for which each row is made of a trend - I build the autocorrelation...

Agreed! Back testing is almost a scam. Believing that what worked best in the past would work best in the future is foolish. I see that every day. My best models walking forward are certainly not the one that showed good results on in-sample data. Traders should look for trading platforms...

Markets are high dimensional systems - that is, expressed by many variables - but still contain a great deal of structure. I believe that trends can help reducing the dimensionality of markets to make decisions. Ultimately, traders should look for models for which the equity line lies on a well...