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Thanks for pointing out the error. I edited the post so it should show the correct calculations now.

No matter what test you do, the trades are going to only be a sample of the ultimate distribution. If it shows 60% winners for the past 10 years, that may be the mean or only a skewed result from your tests. Here's something to stress test the sample. To find out estimate of error in system...

You might not have cookies enabled. I'm using IE v6.0. The site uses cookies to keep track of what you've listened to. My privacy setting is set to low and works fine for me.

Vic didn't go under in 1997. He's no saint and he's definitely not a humble guy. Just another attitude filled New Yorker with a healthy respect for risk. Here's a audio interview with him from Dec. 99 for those that are interested. http://www.wallstreetuncut.com/wsuArchive.htm "Would...

Aaron is over 100% CAGR for past 36 months. I think that's impressive. Hats off to another ET member!!!!

To be in the top 20 on the iasg website you'd need: 11% return Jan. - Mar. this year 60% return past 12 months 25% CAGR past 24 months 26% CAGR past 36 months 21% CAGR past 60 months

Victor is the president of EAM Partners and is the general partner for a couple of pools. He's working out of Dallas, TX (469)232-2810 if you want to give him a call.

Hard to see how any of this is trading related. Harry, perhaps you should consider taking your one man movement to a political foum where it could be fully appreciated. Here's one for you: http://www.wfaa.com/cgi-bin/discuss/postlist.pl?Cat=&Board=politics

No, I'm not Victor....although I've been contacted by a person from his hedge fund about a year ago regarding edges (which I've been preaching about publicly since 3/2001). I'm glad he's seen the light. If he had put this to use in the past he wouldn't have gone under or had a big hit because of...

I downloaded it and all I found were two spreadsheets. Is there something more to it?

Curtis is one of the original turtles. He's behind the site from his firm at Galt Capital in the Virgin Islands.

http://www.originalturtles.org/index.htm

My exact points are based on market volatility, location of entry (proximity to important points such as yesterday high and low), and the type of trade (breakouts have tighter stops than reversals). Generally I keep the stop to less than 1/4 of the range between the upper and lower bands of a 2...

Break the 600 trades into 2 sets of 300 trades. Then load them into excel. Col. A = first 300 Col. B = second 300. Use the correl function to see if there is a correllation between the two sets. =correl(a1:a300,b1:b300)

Yes, that's pretty much what the prod5 system does. In this case I found the result distribution at times is predictable (though not the frequency of the distribution). Yes, you could do that or flip the trade because what you're predicting is the day will have a larger range than normal...

Edge = better than random Character of market = curve fit If something makes money it could be curve fit or it could be a non-random event. If it's cuve fit, the return will depend on the market exhibiting the same behavior year after year. If it acts the same, you make money, if not you...

I don't trade stocks. This is the SP500 futures. What I was saying is I found periods of non-random behavior when measured against random entries and found that they persisted over many years (in this case all years that the SP future has traded since 1983). Expectation = (%wins * size of...

Lastly, here's the annual numbers including this years YTD (through Friday). The system makes a new high on average every 11 days which isn't so bad. Notice how the % profitable is about the same every year. This is what a real edge looks like:

For those wondering what good stats look like for a system, here's the analysis:

Most people spend their time trying to develop a system to curve fit to the data. If it makes money, it's called an edge. In most cases it does poorly in the real market and they say systems don't work. If you look for periods of non-random behavior, you'll find some interesting ideas. All my...