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For the same reason alcohol is legal and marijuana is not: precedence.

This might work...

Though, in some cases it is. A friend of mine loves to play ranging markets, and then play the breakout. He firmly believes that the breakouts are accelerated because of a rapid covering / selling of the positions that have queued up due to the ranging market. I explained to him that when he...

To summarize this thread for those who have showed up late, "I knowwwwww a secret youuuuuu don't. Na na na na na na!"

Okay.

That's because I am. Gil Blake states that if you take a subset of stocks (typically related by industry) with a highly correlated, statistically significant price movement, that with high probability, the following day will have a movement in the same direction. In the short run, he claims...

Right, but Gil Blake is saying, if I am interpreting him correctly, that the 'unknownable surprise' is actually predictable, with high success, on certain days.

In my opinion, Gil Blake proves you wrong. Fish swim together.

I've noticed very similar things. I've also found that these fat-tail periods are best identified using proxies to psychological indicators... at least if you are trading a more macro product (sector etfs, et cetera)... Even measuring a recent 'risk/reward' metric versus historic...

Great stuff. Thanks!

I enjoy the premise, and would love to seem more articles on similar topics, but the article lacks follow through. 'Expectancy' and 'on average' are the most dangerous words in ivory tower jargon. It's why so many portfolios are spectacular on paper, but fail miserably in real life -- the...

I would first ask myself the question, "How often are 90% of the stocks in a sector up significantly in the same time period..." In my experience? Not often -- which in and of itself is a rather powerful signal... As for the direction? I leave for you to do a bit of legwork on. Though...

History of writing applications for other users. It's one thing to write code for yourself, it's something completely different to write code for other users.

Look a few posts up...I did :D

I've been programming in C++ for over 7 years and I still can't say I know C++. It is, by far, the worst language I have ever worked with. Undefined behavior this, undefined behavior that. The standard is full of it. I think it is impossible to truly 'know' C++. What you need to realize...

Statistics. Learn it. Love it. Live it.

I honestly can't remember what I used. It was well over a year ago since I needed it -- and long before they came out with the different scale servers. All I did was create a packaged bundle of tools I needed, then loaded them on my website. When I loaded a new AMI, I would just wget my...

I've used the EC2 service many times. I find it to be quite useful in terms of data mining and large data processing. The power of EC2 isn't in using a single instance. It's using multiple instances, in an inexpensive manner. In my case, I had twenty years of historical information...

I hate back testing and optimizing, but I felt that looking at different charts, it found the highs and lows I wanted it to find. I found that a 5 day simple moving average was too fast, and that I would get 1 bar blips above the average that weren't long-term peaks, but short term randomness...

I've been struggling for quite a while to find an appropriate formula for finding peaks and troughs. I find 'swing highs' and 'swing lows' based on some arbitrary look-back distance to be a bit too crude. It misses the heart of the subject, and adds an extra layer of constraint I don't...