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He-he.. English is not my first language either :) With all those similarities to QM the good thing about market – you don’t have to know where it’s gonna be. It’s enough to know where it’s going. And a lot of strategies do that with probabilities high enough to make money, since...

Though I have no idea what Harry is saying, I think some similarity between Quantum Theory and the Market are huge. 1. Waves. I think most of the people can realize that market is moving by waves just looking at the charts. And here goes some math. As you know, everything in fact is waves, as...

If it’s not some sort of a random system, then I think it’s quite possible. I’m not sure one would need months to crack a system. Just get as many factors as you can find – like prices, opens, closed, indicators – whatever (let say a thousand). Get trades. Combine them together. Run...

Bob111, thanks for your input. I’m not saying I’m selling. My question was – let say there IS a system – is it possible to sell it? Let say you showed the trades. It’s not just 1 or 2 trades – but thousands. Though some details could be hidden the basic idea is released. So, who'll...

How about 10$ from 1000$ equals 0.1% ? :p

I’m not sure I understand either. How can I make just 0.1% commissions on a 1,000$ trade? Average commission with IB is about 10$ per trade. So, it would be not 0.1% but 1% on a 1,000$ trade. Just to get in. The same is to get out. I did not say it before, but my system is market neutral...

The system was back tested with S&P500 stocks only. When trading for myself sometimes I use Russell 1000 stocks.

Thanks for all the tips, guys. This system was specifically designed for a Hedge Fund. For one thing - number of transactions –100-200 per month. I can’t trade it myself – having 1000-2000 on account (make it 10,000 or 50,000) and on average 1% profit per trade does not make sense –...

That is exactly the soul of my question - how do you proof the system without showing actual trades - and who would pay you afterwards if everything is shown already?

Is it possible to sell a trading strategy to some hedge fund? Let say strategy was back tested for 5 years, returns on average about 1% per transaction with 100-200 transactions per month with 9-10 profitable months per year. But is it technically possible to sell a strategy? Have anybody...

Let say you have a great strategy and you making very good money with it. Would not you want to sell it for a few millions?

... and tell us your pairs too :D

Hi, For back testing, I used only S&P500 stocks for 1998-2002. Actually, to get correlation for January 1998 I used data since 1996. I do not trade many pairs, but follow all the combinations available for Russell 1000, S&P500 and Nasdaq100, though I like stocks with a volume. I hope I’m...

I also back tested both strategies (not intraday though). Here is my conclusion: Pairs obviously do not always reverse to mean. I also do not consider 2SD to be enough to decide if one stock is overbought (oversold) compared to another. On my opinion, RSI is much better in this case. So, for...

Actually, you have to divide that number by 2, but still - impressive

This is a very interesting discussion here about how difficult the math for pairs trading. And what is better – correlation or cointegration? But what are we looking for here, anyway? Neither – correlation nor cointegration could give you entry point or exit point. As a result from applying...

MO and IBM have just about 10% of historical correlation. There is no reason to trade that pair (speaking of common sense). However, if you'd test all the stocks against each other and check the results you'd be surprised of what you'd see. There is no correlation btw having stocks in the same...

I back tested S&P500 stocks for the last 5 years and found out that some pairs tend to diverse and some to reverse to mean. And for any given pair with high enough correlation that already diverse enough from mean you can say if it will tend to diverse or reverse. Win/loose ratio may differ and...

Ha-ha-ha. If there is a working strategy (any one) - sure it is easy. The most difficult part is to follow the strategy.