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I would think "Buy Low, Sell High" always stays profitable through time. However, since low and high are relative and not absolute (except for 0.0), what are some ways to differentiate the two? I use a highpass filter, but then I'm only break even as a trader.

No, that's what this whole thread is about. Just taking your best shot is at best a 50/50 proposition at best. Smallfil is correct about positive expectancy, but that entails detailed back testing, possibly for years, before trading. Of course there are whole threads and web articles that go...

By data lag, do you mean network latency from the exchange servers to your computer? If so, do not worry about it too much unless you are in a location with extremely spotty internet access. Certainly, latency arbitrage would not even be a game you could begin to play in even if you had a fast...

There are entire threads to search on why moving averages do not work, but the main reason is group delay, more commonly called lag. MAs are really lowpass digital filters applied to price data which can be modeled as a complex waveform. The only true zero-lag MA is a forward-reverse design...

The perfect indicator. 100% accurate from 1 day ago. price[0]-2*price[1]+price[2] This creates an oscillator that has perfect timing 1 day ago. It's called an MTI (moving target indicator) filter in the world of radar technology. If somebody can figure out how to get rid of the 1 day of group...

And if they say, Sie konnen meinen Arsch lecken, they may also be polite.

You should ask this on the Wilmott forums. This question is likely way more advanced than the users here can answer.

The majority of options expire worthless, an realized volatility is fairly consistently less than implied volatility. These facts would lead one to think that structured selling strategies are the smart way to go. LTCM and Supertrader Karen are dramatic examples of the how flawed that mindset...

Blue Horseshoe hates Anacott Steel, apparently.

Of course when a strategy starts working and when it stops working is randomly distributed in time. However, since even the higher moments of the distribution are stocastic, using a probabilistic model is hardly a path to trading success (more paramteres to get wrong.)

Buy when there is blood in the streets.

The price of a financial assest is only worth what you can convince somebody else to buy it for. There is one way and one way only to make price to go up, and that is to buy. However, high and low are only relative, not absolute. Therefore your job in trading is to figure out when other people...

No exactly, even random walks can produce patterns that look like trends.

The issue no one is dealing with is that Point B is only identified after the fact. Nobody can identify Point B in real time and say that price will definitely go up instead of continuing down. It is always a 50/50 proposition what price will do in the next time period. However, probabilistic...

For the average 401(k) investor, there are no good passive hedging strategies. Diversification is about the best you can do. There are funds nowdays that will do the active hedging for you, but fees are high, and I can't attest to any of their track records. Bonds are still the best...

The broad market took 25 years to recover from the 1929 crash. If you were lucky to hold certain individual stocks, you could have recovered sooner, on average I believe 12 years for many companies.

However, an entirely possible scenario is the market drops 35%, you buy, it continues to drop to 50% from the high. The market then spends the next twenty years going back up to your breakeven price. If you can potentially wait half of your remaing life waiting for prices to recover, good on...

Hedging always has a cost. To help offset these costs, Taleb used to support the idea of buying tbills/bonds, and using the interest income to pay for the OTM options. This was his barbell strategy, i.e. take no risk and take enormous risk at the same time. I really don't know if he still uses...

The problem is, when breakouts start working and and when they stop working are randomly distributed through time. There is no way to causally predict when either event will occur. Like any method. Unless you have invented some kind of stochastic variance breakout model which you have proven...

Taleb has in the past recommended a barbell strategy to deal with these issues. That is, take no risk, and take enormous risk at the same time. The strategy is to buy treasury securities, and use the interest income to buy OTM options. I don't necessarily endorse this strategy, but it does have...