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i have the book i think. i profit from this communication a lot. i am the disciple. and i am trying to do my homework. i agree very much in all you concepts on high frequency. consider your equity curve tested back over ten years happening within one day. and tomorrow and ... that...

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i agree on the edge test. i definitely did something very different. thanks for being that clear. peace

my thinking i terms of system is illustrated best by an example: http://www.elitetrader.com/vb/showthread.php?s=&threadid=31847&highlight=hang+seng still do not know what to think about this. in terms of trading frequency i think you are perfectly right, alan. if you can shrink the...

i build a sheet in which i have daily data for sp futures in the first columns followed by a column with daily gains as calculated by ln(Ct+1/Ot+1), so i am calculating tomorrows return. now i derive all sorts of things ending with the close of today (Cto). i did indicators as well as different...

i slightly disagree with the worst case assumption. always assuming worst case means that you do not trade at all. key is whether overall sharpe is increasing or not. do you have that paper? peace

i suggest to look more at what i call stress correlation than normal correlation. take equity curve x on daily basis and equity curve y. look at all days where x was negative and take the y values from that day as well. now you have two time series, one with the negative x values, one with...

i cannot help to rethink that issue of "MY thread". it is really interesting. is it the bytes that make the thread the thread or is it the content, thus the originial, nonTradeable mental property of the people posting? i have some sympathy for the "MY thread" opinion, though i am definitely...

i read your words. peace

IMHO magna went too far too quickly, could not turn back and baruch is not the guy willing to play games. baron has to back magna in public, but might have told him a word or two in private. in five or six months magna will be doing something else. you do not change things like this not...

i am very glad that finally someone is talking about sharpe ratios on this board ...

i understand the system search process that acrary practices like this: 1. find set ups tool: correlation analysis 2. test set ups tool: self coded, tradestation, whatever 3. evaluate results derived under 2. tool: monte-carlo-like analysis of trade distribution i think it is...

i propose to post secondary material to this thread in another one. i suppose that multiple discussions could start, which could disturb communication here. i for myself will try to restrict comments to issues which were started by acrary and comment on those of others in the other thread.

self speaking thread title i hope. target: keep the original thread clean. peace

vola as such is almost tradeable. calc the range over the last ten days. the average range since '92 is 5%. the average dailyGain is about 0.01%. if the range over the last ten days was above 7.5%, the expected dailyGain for tomorrow increases 0.19%. conclusion: the more volatile the more...

agreed. any measure to improve codes of conduct so to speak can only be beneficial for a big board like et.

i do not understand why this is not a monte carlo simulation.

i can hardly believe this figure. ten to one is very, very high. i doubt that this is possible using daily data without intraday activity. peace

i assume that what you call pro traders are traders on desks in institutions. they never think in terms of capital, that is why percentages never mean anything to them. i think this is the weakness of these institutions not their strength. in quant hedge funds and ctas, who are in my opinion...

an example. coffee. holding period: 1 day. 2 parameters. 199 trades. ttest: 0.00. hitratio: 61%. payOff: 1.61. modified sharpe ratio: 0.88. return p.a.: 16%. vola ann.: 18%. MDD: 17%. 1987 1988 -6% 1989 15% 1990 9% 1991 8% 1992 6% 1993 17% 1994 10% 1995 50% 1996 -3% 1997...