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Yes, I understand that any edge can be only statistical - and the casino proposal, well, was more a thought experiment :) . Still, a system with a statistical edge even when trading random walk curves is probably unique on this planet, if not in the universe.

If I understood you right, your system can generate profits from completely random price data, and this would even be an ideal situation. Does this mean that you can take your system to Las Vegas and always win in Roulette? Roulette returns are pure random walk curves, aside from the 'zero'...

Ok, I see. Then let me formulate a different question for understanding the edge by continuing the losing trades: Suppose you were trading not real instruments, but a portfolio of random walk curves, some correlated, some anticorrelated. Had your system then still a positive drift? If not...

Thanks, this makes it clearer. Forgive me that I'm a little slow, but I'm still not 100% sure where the edge of your system lies. Suppose you have two trade strategies S0 and S1, where S0 does not use past trade information and S1 does. In any other regard the strategies are exactly identical...

Thanks for the explanation. Ok, if I understand it right the "alpha" does not come from entry/exit rules, but from keeping memory of lost trades and using it for recovering losses by entering further trades with some hedging algorithm - is that correct? If so, why does this method produce an...

Hi, a question about your system. By what method does the system enter trades that are not meant for hedging? Are they entered at random, or when the price crosses a grid line?