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Call me stupid, but doesn't it just mean that there was demand at a lower price?

A well considered pair portfolio can reduce systemic risk much more than a poorly created portfolio. The point I was trying to make was that I don't believe you can neutralize systemic risk completely. You are always exposed. Most people who are new to pairs trading assume that they have...

Because being 'market neutral' is nearly impossible? You would need to be constantly rebalancing, and have to assume some sort of stationarity in stock-to-stock and stock-to-index relationships. i.e. you could beta-weight your selections to get market neutral, but you have to make some...

I think we essentially agree. If someone is just back-testing random strategies over multiple instruments and time-periods until they find one that works, it is unlikely that it will work walking-forward since it would indeed most likely be a case of curve-fitting. If, on the other-hand, the...

Again, hence why I am stressing that a) The backtest be done over a large range of historical market types and b) He understand what peculiarity he is exploiting so that he can recognize if the paradigm changes. In conclusion: backtesting is fine if you know how to employ it. But just like...

Hence why I said it had to be robust over a large range of history, preferably including different markets. If he had a system that was good on tech stocks from 1997-2001, then that would be curve fitting. If he had a system that was good on tech stocks from 1990 to 2009, that may not...

That isn't selection bias at all. My recommendation is this: if your strategy is ROBUST on a great history for an individual instrument, it may be taking advantage of a particular characteristic of that instrument. In that case, you are fine on specialized running a strategy on a single...

How that is even close to a 'straw man' argument, I would love to know...

Depends on scalability, access to capital, and life expectancy... Theoretically, the price should be infinite ... but this isn't an ideal world and all strategies have scalability decay. If you started this strategy with $100,000 and made 100% a year, you would have more money than the USA...

Timeframe. e.g. Overbought/Oversold at 5 minute can be a strong-trend at 1 hour.

It was one of those 'embarrassingly easy' parallelized problems. Backtesting hundreds of equities over twenty years with about forty parameters. Basically, it was looking at each equity on its own, so I didn't need to do any portfolio management stuff -- which made things easier to distribute...

From what I have heard, Jacket and GP-You are pretty easy to work with if you like Matlab. If you are doing things like Montecarlo, CUDA has a couple examples. I guess the finance world has been dabbling in GPU work for a while now. From what I have heard, the language itself isn't hard to...

Perhaps he himself is now being fooled by randomness...

You miss Joe Doaks' humor. Perhaps you should try to look him up under his many other aliases. His 'undicators' are works of both lunacy and magic. A hilarious man, that Doaks.

For a man who talks all day about our inability to predict, he sure does make a lot of predictions...

It isn't just Wellesley. Most of the Massachusetts suburbs have great public schools. I think Acton recently scored as one of the high schools with the highest average SATs in the nation (including private schools). Then again ... check out the education at some of the private schools in...

I am sort of surprised this isn't an easily available list...

Assume a month has 30 days. If you do not reinvest gains: 10,000 * 0.01 * 30 = 13000 If you do reinvest gains (10,000)*(1+0.01)^30 = 13478.49

Wow. Can't thank you enough! Perfect!

Yeah, it froze FF and IE on my XP machine...