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Can you explain the statistical properties of kalman filter? I've looked at it before, but it seems hard to understand. Anyways, I'm generally not interested in just an average, but looking to quantify more properties of price action. @userque : When averaging, you effectively filter out...

My question is about noise that is added by using adaptive formulas as a small part of a greater trading plan. For instance, a regular SMA reduces noise as a function of its very definition, while an adaptive SMS could increase noise if ie. the period changed wildly every other bar. So if one...

Something which has occupied my mind lately: When making an adaptive formula, where are the lines in the sand to distinguish between improving expectancy vs adding noise, ambiguity or somehow lessening statistical significance? There seems to be limits on how adaptive one should make systems, or...

It entirely depends on your lifestyle and how you build your system. It is possible to work full-time, but you'll need to find out how this can work out for you. Don't expect stellar results in either working or trading though. If possible, I'd recommend reducing work-time so not too much energy...

To use anything for trading, without arduous verification and continuous improvement is ridiculous. Kind of on-topic since we're discussing backtesting. However, it is interesting to hear about various pitfalls of backtesting. If you train your system on the same data used for...

Try to list your assumptions, then what might possibly break them. How long is your backtest? What is the reasoning behind your trade plan? If it's just an MA crossover system, why do you expect consistent profits (edge) from using an average of prices as triggerline? If this instrument had...

Convert x to log-space using log(x+1)=y: log(2+1) = ~0,47712125471966243729502790325512 log(3+1) = ~0,60205999132796239042747778944899 Convert y from log-space using (10^(y))-1=x: (10^(0,47712125471966243729502790325512))-1 = 2 (10^(0,60205999132796239042747778944899))-1 = 3 Is there anything...

Logic works too: If Market.checks(Your.Bluff) Then You.Lose Else If Your.Bluff < Market.Bluff Then Your.About.ToLose Else If Your.Bluff > Market.Bluff Then Your.About.ToLose Else If You.checks(Market.Bluff) Then You.Might.Lose Else You.Survive.AnotherDay

Gambling sites offer bonuses. Why do you think they do that? From the site itself: Bonus increases your leverage: leverage 1:500+500% bonus=leverage 1:3000 Who benefits from 1:3000 leverage do you think, and at what percentage-loss do you automatically blow up the account? What would it take...

What'll be your average holding time? ~200 ms is very normal internet ping times. Not great, but OK and expected. If your holding time is longer than a day, you can probably survive multiple minute ping times as well.

In most languages you'll need to iterate with some logic. Making it not iterate is probably more painful than it's worth. Forward algorithm pseudocode: BAR_IN_CORRECTION[0] is true if MAX(CLOSE, n)/CLOSE[0]-1 >= 10%. BAR_COMPLETED_CORRECTION is true if BAR_IN_CORRECTION[0] is false and...

It's of course a remark that has a bit of an edge, but what I mean is that we often fail to see the consequences for ourselves and especially others. We humans are quick to prescribe medicine that can be worse than the syndrome itself. We are prone to treat symptoms and not go in-depth. We...

Like many others, I can only point in a direction. It's easier to say what it is not, and to suggest to move further than what is already accomplished. As point forward, I would suggest humility, consideration, respect, exploration, expansion, inclusion + all the best qualities one would wish...

"Which is mankind's curse, if ruled by logic alone." Does my reply to you explain some of it? This sentence above means that whenever people let logic dictate their intents and actions, this often has the most negative consequences. Logic, like computer programs, can be used to rationalize just...

Logic by itself, has no intrinsic value or validation. A computer program is in essence just that: logic. Mathematics is also full of logic. It can be used to express anything. It's just a tool, and not something to rely on as a foundation. I can see that someone operating from logic alone may...

I'll bite: Logic is flawed. It's not even real. It's in our heads only, not out in the world, in reality, outside the shadows flickering in cave walls, or even outside the caves themselves. Unless we unleash our own logic unto the world. Which is mankind's curse, if ruled by logic alone. No...

Specialists have tunnel vision. In the right circumstances they can produce much more than average. They are experts in their specific field, but often lose track of the big picture. They are like a well-tuned machinery for specific tasks and fields. In order for the right circumstances to...

This has been discussed for thousands of years. It's simply the old discussion of theory vs practice. For trading, you can't accomplish anything consistent without practice, but theory will as always be a useful tool to enhance and revolutionize your practice. So they really go hand-in-hand...

I find your thoughts interesting. Don't look for validation in quantum physics though.

Write down ALL your ideas for improvement, immediately! No matter how trivial or crazy, get it written down for later viewing. Go through 'em. Prioritize if you must, and tick 'em off when you're satisfied how you handled that idea. Once ticked off, they'll effectively become forgotten from your...