Search results

You can improve win/loss percentage, but that does not necessarily imply lower DDs. Same for win/loss ratio. In general optimized systems based on high PF ratios are not sustainable in the long run (not robust). In fact this can be simply verified by optimizing inputs based on win/loss...

Strategy performance and robustness has ABSOLUTELY nothing to do with how fast you can double your money.

The acceptable range of drawdowns on an automated strategy can be determined from the drawdowns found during your testing. There are several metrics that you can use to gauge the real-time performance of your system in relation to the simulated results. Average losing trade, max. drawdown...

and by the way...winning percentage is not the most appealing metric to maximize in a mechanical trading system. Maximization of winning percentage in a short term trading system can come at the expense of lower average profit per trade. Lower average per trade in a short term trading system...

If this is the firs step that you're taking to develop your strategy, then I'm afraid you are doing it backwards. The first step is to identify a probable tradable system and then evaluate its robustness. But to answer your question, you want to improve the entry and exit efficiencies in...

This tax should be just as effective as the short selling ban. :D

One may find Larry Summer's Letter to Congressional Leaders helpful. Point #4 on the letter is of particular importance.

What do you think? :D

I'm sure that these ideas already crossed the minds of a lot of investors.

Estim, interesting insight on this modified version of walk-forward. But maybe you can clarify a few points. You say to divide the data set into 4 parts and test on 3. I'm a bit confused when you say "chose those that fit best to all 3 datasets". Are you saying to use the set of parameters that...

Anything, I mean anything, would be an evolutionary step from Vista. And anything, I mean anything, has greater success than Vista.

I believe that these were the same people that told the public that everything was Ok prior to the train wreck. :D

I suggest you learn a bit as to how leased assets are accounted in the balance sheet versus straight out owned assets. The difference is similar to day and night.

:p :p :p :p :p :p

I could not agree more :p

After reading a few dozen posts it seems that most individuals miss the point by a mile. The arguments range from fundamental reasons, tea-leaves readings, crystal ball and other mumbo jumbo voodoo guessing. The most prudent route for volatility sellers at the moment is to just buy the deep...

At least these execs will have plenty of confetti for Mardi Gras...

I respectfully disagree. The topic is relevant because if this is indeed a major turning point in favor of behavioral finance then there are major implications regarding investing/mechanical strategies going forward. Take your pick from the myriad of topics listed here...

In a decade or so, we will look back at 2008 as the period that marked the major transition from EMH to behavioral finance.

With all due respect your line of reasoning lacks factual evidence and it is solely based on personal perceptions. Sure the market may rally violently from here as it always does in bear markets. Factual evidence shows it. Paper and pencil on hand and some historical data will show...