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OK, man. I can understand that, having been there myself, although typically on political threads. By the way, one point, which is kind of implicit in some of what you've said, is that even though I do think there are managers with skill, the question of whether those managers' investors...

They also cite authors who use bootstrap analysis to conclude the same thing, e.g. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1974577

You'd think that these traders would be smart enough to self-select to managing a fund only if they thought these factors would not impact their ability to make money. Or, perhaps some of them looked at it purely from a short-term perspective and figured their ability to make money would be...

Yeah, that must be it. I knew your response would be asinine, but you actually outdid yourself with this one. You now join the only other person I have on ignore, Jack Hershey. You must be proud to be in such illustrious company.

I linked to the paper. If you actually want answers to your question, rather than assume the answers prove your point, go read the paper. I'm not your fucking secretary.

Since you brought up the "coin flip" issue, which inevitably leads to the "streak" issue, you should check out the Legg Mason analysis I linked. Here is what they have to say about streaks of market-beating performance amongst fund managers: "Streaks in the investment business have not been...

What would you call trading which could end in a day or could go longer, but typically less than 2 days?

As with many things that sound good in theory, the potential flaws will lie in the execution. For example, how will you define "beaten down" sectors? Remember that a market can nearly always go down more than it has already. It sounds somewhat like the "Dogs of the Dow" applied at the...

And the reason you do it yourself is precisely because no one else can be relied upon to consistently do whatever it is you want done in a way that will satisfy your standards. I think you missed the basic point, though. If you are, as you say you are, not the kind of person who relies on...

I'm considering it for my tombstone. Gotta leave behind some wisdom for future generations. :)

Nope, that's basically everything I've learned in life summed up in one sentence.

If you want to minimize disappointment in life, assume everyone is a completely useless POS until they prove otherwise.

3 weeks? That's an awfully short period of time to base real-money decisions on. Now, if you are using this system on the NQ for the first time, but you've used it in other markets for a while, it might make sense to place some trades on the NQ based on 3 weeks of data, but otherwise, I would...

What if the 20-50% quit trading while they were ahead? I'm not sure why you are fixated on the 95% number, nor do I care, I'm only pointing out that it's probably too high an estimate and that it's probably closer to 70%. I know that doesn't make for dramatic statements about trading, but the...

SSRN has thousands of papers on trading, although obviously if you are looking for something very specific, it might not be available. If you want to look at a slightly different approach to analyzing trader performance and performance drivers, you can look at this paper...

The best place to find research on day trading or individual traders in general is cxoadvisory.com or SSRN. I've seen research there showing that anywhere from 20% to 50% of day traders were profitable during the period being researched. Split the difference and it would seem that about 1 out...

They seem to typically want to test rules in large batches, so the rules they test can't be very complex. Seems to me they should just stop testing the stuff, since it's a big waste of time for everyone.

60 pages to get to this? Seriously, is there anyone really claiming otherwise? Even when a trader says something is "predictable", what is really being said is "the probability that this is true is not zero".

So do you make 3X or 6X the ES daily range? You know, it is possible to both understand and mock Hershey's trading ideas. It's not just the language he uses, it's what he says with that language that is so ludicrous.

Using "ideological" as an epithet? In 2012? Just as with opinions and assholes, everyone has an ideology. Don't think you're sitting somewhere in the ether looking down on us mere "ideologues". Pathetic ad hominem, just like Breen said.