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Implied volatility is a better input in correlation calculation.

if you really care, read a book on econometrics. Before you start automating, you should really understand the principles of model building. If you don't understand the relationships of our parameters, I.e. If you you can't express your variables as a joint distribution, or use other methods...

Re: betting theory Once you start with the basics from the original sources, it's pretty easy to stay on the right track. TSGann... great post. FYI: Not related, just good info for modelling and portfolio management-- I've been reading "Risk and Asset allocation" by Meucci and I...

I was very impressed after seeing the presentation they gave. Out of about 10 mulitstrat. firms, that I saw present, they had the best talent, had the best corporate culture and were the biggest. They don't care what the strategy or investment is as long as it makes money. I can remember...

So, this was posted a long time ago. It would be more correct if Kaufman used the Law of Large numbers to describe this rather than the Theory of Runs. I think he should have qualified that statement with, "over many trades". Without mentioning any of that, it's another example of gambler's...

I can't think of anything less rigorous than anything that guy has ever published. I can remember trying to duplicate something he did years back and questions his results. He said that the stocks he uses for his analysis are picked on discretion. Let me repeat the fact that his data set...

Why not look in academic publications. Find the original paper and look for publications that use that as a reference.

1) Try running significance tests for your variances. You can't deduce anything without accounting for the return distributions. 2) For your set 1 data, did you omit the time periods you are not using for the second set and third set (you are never able to use that first year if that is...

Thanks!

The two biggest challenge I have is using my resources in the most efficient manner and knowing when I have enough expertise on a subject to integrate it into my trading. I'm always trying to juggle learning about computation, statistical methods and researching the markets. I haven't For...

Here is another question related to my first post: To what extent can a portfolio map the p.p. space without the input of trading strategies? If we can express all factors in our trading strategies as factors in our portfolio, then we've got something.

Let's start with the socratic method, so that we know we are answering the right questions. What is the purpose of a trading strategy? For me, a trading strategy attempts to map a unique segment of the potential profit space or space. It doesn't care about sharpe ratios or any other...

Trading is a stochastic process, so are my buy and sell decisions. If I didn't have to account for liquidity, opportunity cost, anonymity, commissions, etc., my buying and selling would be on a continuous basis. So should yours if you care about having the most linear equity curve.

For those who have been trading a portfolio for a while, what do you think is the line that divides portfolio management and trading strategy. Sometimes the answer is obvious when there are few factors involved and scaling isn't an option. I am finding that as my strategies increase, my...

jr07, don't expect to find any decent pro's to look over their shoulder (what's in it for them). Seriously, don't fool yourself!! Try and get into the industry and if all else fails, go to work for a prop. firm and set and watch those traders. Don't expect those guys to have some novel...

Does anybody know of any websites that gives all the indexes, etf's, funds, etc. that any given security is listed in?

The intersection of trading systems should be already planned before deciding order execution. If system A behaves differently in the presence of B then that should be accounted for in the model building. I would call it a third system (and deal with the other two factors) or if was some...

An alternative for amibroker is to take the resulting equity curve and put it in excel, index it (so you can compare it to other equity curves), and then add it as a chart back into amibroker. I use mainly SAS for all my analysis. Excel is a good start because there are some good add-ons...

I wish you well maestro!

I assumed that MAESTRO was not talking about the trivial that frustrated everybody. I solved for the case where there are 4 different continuing series which have 50/50 chance of being heads or tails on the next timeframe. I then assumed that difference between time periods was unknown...