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My opinion is that you are wasting your time with this one.

Calibration parameters constantly change. This is one reason trading is hard.

I think he is like a medium frequency trader. Most of his money were made before HFT via data-mining. Unless you think he lies, do you?

You can use excel for that. If you are more sophisticated you can use R.

Good article from the Quantocracy mashup. I agree that trend-followers are gamblers but when they win the profits worth the pain.

Most people trade to make other people rich. It's a form of wealth redistribution in a capitalistic system. It works.

That was enough to make him go away.:)

Now we wait when they will be fired.

Anyone can write software to create trading systems. That was a midterm project in one of the classes someone I spoke with took in the past. The problem is how to create systems in a way that minimizes data snooping bias. See this excellent read for example, coming from a guy that has created...

Maybe it works for stocks but not for commodities in general.

Prices are not random walk. They are almost a GMB. Take a look at this excellent blog by a young talent. The only reason you do not get large jumps is because of rules imposed by exchanges. Occasionally you do get them when liquidity dries up, ex. flash crash. I agree with you over the long...

Forget about books and courses. Do not spend a dime on them. They do convey misconceptions in most times. Often those who write a trading book do so after having failed in trading. Follow this expert and you will learn everything you need at no cost to you...

There is no way to claim backtest results are statistically significant. Nobody said you made claims of profitability but you made basic statistics mistakes. Your test was about testing whether a coin is fair (or unfair). This is not a proper tests as I already demonstrated to you. Win rate is...

Those are not opinions. They are facts based on established statistics. Note that you wrote: So do I read this right or did you write one thing and you meant another? You talked about tests based on backtest results. All tests on backtest results are useless and tests on real results may be...

See my response in the other thread about your other test. This test is also irrelevant if it is based on results from a backtested curve-fitted system. Most random systems will rank inferior to the curve-fitted system. Your true null hypothesis here is: H0: Backtest returns are better than...

Are you a joker or statistics illiterate? The null hypothesis of the test with the 16000+ trade requirement for 1% error at the 95% confidence level is that the win rate of the system is 50%. That is what you are testing, the presence of a fair coin. Win rate is irrelevant in trading. Your...

In my opinion results vary based on lookback period. Too speculative form of trading. I recall in 2008 many stat arb traders went bust. Momentum is the play nowadays.

Probability of success of 50% doesn't mean that reward:risk is 1. What about if reward:risk is 5? Also, what about if the system does trend-following? Does the MC make any sense? "Set up a a monte carlo study that results in 15 entries uniformly distributed across the day, with holding...

You wrote this: It does not make any sense. You have a program and I don't doubt that. But do you know what it does exactly? Do you have a link? Does the program explain its calculations? The numbers you are suggesting allude to a test of a fair coin. Why do you think this has any relation...

How did you come up with these numbers?