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should have read "the summation of 1-1/n /...

let me try = (1-the summation of 1/n ) /(1- the summation of (1/n)+[(1/(2^n))* "n choose (n+1)/2"] as n goes from 0 to infiniti.) too tired to solve sorry

Good luck with your new gig! It sounds like you've done the grunt work and it's finally coming to fruition.

2. portfolio models, ok... 5. Functions/no functions that's not the point. Take the idea first, decide if it's useful and then how you can model it. there aer ways to deal with the parameters if you use a function. and there are other ways besides a function-- how would you account for a...

So, let me get this straight... you have key statistics that you use for the sub-categories that ulimately tell you how to allocate your money. And you have categorically different systems that relate to each other under a certain condition, and you're trying to figure out how to measure and/or...

I understood your autocorr. post correctly.. what I was saying was that if the autocorrelation of the subsystems equity curve is not a function of the markets traded, then you have something, otherwise it's like using indicators to look at price. The previous post was meant to act as a...

Note that this autocorrelation is trivial if its just a function of observeable market. If not.. well then you have discoverd something which can be manufactured into something tradeable. That would be the takeaway. Let's not fall victim to the representation falacy. data != tradeable edge...

The topic of combining multiple systems should start from a practical and qualitative view point. All financial markets are tied together in some way and will therefore share the same risks, but to different to degrees. Therefore our trading systems should theoretically allocate money to...

I didn't use your post as a starting point, but the first objective I came up with happened to be your question. I quickly assumed that my direction was your direction. I guess I was simply being curtious and structured it the wrong way. sorry

Just to reiterate what TSGann said and to further organize. Goal: define a methodology for combining multiple systems Objectives: a. identify what separates "a system" from multiple systems. 1. differences... commonalities 2. types of simple (if there is such...

TSGann.. I don't think the original point was about the paradox, but was used to illustrate the example of profiting from 2 "losing" strategies (however trivial an excercise). The example I used requires dependence, ("mean reverting" in my example) and volatility, which is not what the paradox...

Perhaps one day they'll be Equity Curve products to trade which will give those losing traders with some steady income. Of course the caveat is that you must have "unexplainable losses". :) Guess you'd have to expirations, so when the modelled trader goes broke or quits, you can "roll...

If you have multiple strategies (let's say the are all losers) which have an indentifiable mean to which they revert, then it is possible to dynamically allocate money so that the overall system is profitable. Imagine the volatility of the systems as being greater than the overall loss of the...

If a fund is a buyer, then perhaps they could move the market lower and then accumulate. Or what if they wanted to accumulate in a market they will move? If they just simply hit the buy button, slippage would be ridiculous. So until they were finished accumulating, they wouldn't want other...

If you guys feel the need to argue, do it in PM's. Or, if you feel everyone will be impressed by your witty reply, then start your own topic on how cool your replies are. Your first post can say, "so-n-so hurt my feelings and my pride, but here is my sweet response that helps me feel like a...

So, you're basically saying "it is what is"? In you're first post, you described price by the velocity and ferocity. I understand these to be elements of price action. So are you saying that these are the two elements of price that we should focus on if we are to understand who the players...

With all things being equal, that would indicate indecision. Let me rephrase my question: Does price action give any indication as to the mix of participants? For example, there are some stocks that move much cleaner than others (clean: the close is generally at an extreme, the daily...

I'm trying to start a fruitful discussion on price action and market participation as a basis for possible strategy building. Please don't respond with something you read out of tech. analysis book. What characteristics of market participants (funds,arb.,day traders, individual investors)...

If two systems are volatile enough, neither of them have to be profitable to get a profitable total system.

Should your system work in previous years (based on the fundamental idea driving the system). If yes, and if you have enough sample trades from past data then test over as many years as needed. Otherwise look into developing synthetic data.