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I think you completely misinterpreted the tone of my post -- it wasn't one of criticism, but rather mere conjectures and ponderings about the nature of this thread. I am rather enjoying the discussion that is going on. I think our fundamental disagreement would be over the point that the past...

In my opinion, there are two types of traders -- those who use statistics to predict entries and exits based on confidence levels, and those that utilize multiple signals and wait for confirmation. I have found that those who use the first method tend to be more successful, but only due to...

Well, now I just sort of feel like a dick ...:eek:

Being a 'computer scientist' with a strong interest in language design, I can say with quite certainty that I have absolutely no idea what the hell you are talking about... Seriously. 'A language, when complete, is based on "certainty" throughout.' Does that even mean anything? What the...

First, pardon any of my ignorance. I may be misunderstanding your proposed system. I think we should probably outline some of the assumptions of the system. For example, at time 0, do we assume that the system is 'stable'? If so, at what point do we assume to be t=0? Choosing any...

MGJ, I appreciate you following me around these forums and answering all my questions. I knew the answer was out there -- I just didn't know in what form. I assumed diversifying into multiple markets and products would allow a firm to better utilize their capital ... but I was wondering if...

You completely misunderstood my question. I don't care about scaling in and out of positions -- I care about scaling strategies to take advantage of capital increases. Not all strategies can be run equally with $100,000 as they can be with $10,000,000.

Pondering my future after working on an intraday trading strategy lately, I realized that I have absolutely zero idea about how to handle scaling. The majority of the systems I have designed before were multiday/week/month positions, so scaling was not as much of a factor -- I could build...

That exactly the type of test I would like to run -- except that your entries are based on a system -- and therefore your mileage with stops may not be independent of the entries you take. Hence, if I can create a random entry/exit system, with enough trials, I can smooth out the expected...

Just a simple test in the expected value of a given strategy versus the expected value of that strategy when employing stop losses. I have read a few theoretical papers about the ineffective nature of stop losses... With a system that creates a few thousand random entry and exit systems, and...

It isn't a matter of convergence -- it is a matter of expected value. It is just a large number of iterations that have to be run -- but I can run them on parallel machines -- I am not too worried.

Self coded tool in C++, most likely. To remove any 'personal' bias, I will probably randomly generate B and D. For each B and D generated, I will run the test a couple hundred times -- and generate a couple hundred reasonable B and Ds. With this large data set, I should smooth out any noise...

Very very interesting technique. I might just have to use that!

My only beef with brownian motion is this: it isn't gas molecules, which are accurately modeled with brownian motion, that all rush to exit when the top of a box is lifted -- only humans rush in that sort of unorganized behavior... but maybe that is what you mean when you say 'volatility in...

I was contemplating testing the effectiveness of different stop loss strategies NOT in conjunction with any other strategy -- simply the change in expected return on completely random entries and exits. My only issue is...how do I choose a distribution to define my entry and exit points? How...

Now I don't think markets are random, but your post doesn't really prove anything. The Wald-Wolfowitz runs test is for a TWO VALUED data sequence. Sorry, but the market cannot simply be broken down into 'up' and 'down'. Those 'ups' and 'downs' have magnitudes, volumes, advance/decline...

MAESTRO -- A very interesting concept, measuring price versus volatility. Have you tried any other measures of volatility? 30 day linear regression of the ATR seems rather ... arbitrary. Was this optimized, or just eyeballed? Later I plan on working through the math of the...

I find this particularly fascinating given that I am currently working with markets relative to random number distributions. If you don't mind clarifying (I don't expect a free lunch here, I just don't quite understand one part) -- relative to what are you taking the 'frequency' for the S&P...

Ironically I was just reading a piece the other day on %profitable vs %loss and $gain vs $loss. What is the better strategy ... the one that runs 55% wins vs 45% losses with average win of $500 and loss of $100 ... or the strategy of that runs 80% wins vs 20% losses with an average win of...

First, I apologize for not reading the entire thread. If this has been touched upon already ... then shoot me. I only skip ahead because this quote is just plain wrong. An event configuration may be UNIQUE, but it doesn't make it rare. What makes the up,up,up,up,...,up market rare? It is...