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Hey guys, I'm still around. Sorry for my absence. We have been very busy losing a ton of money doing stupid trades to start the new year off. Kind of funny what a couple weeks away from the desk will do for your brainpower. Actually... I guess not losing a lot of money, but doing a lot of...

For me, it's not as simple as reducing a system to a set of numerical summaries. These can be meaningful as a first step, but you really have to go deeper. Make a distinction between testing a system (which, again, is a joint test of all system conditions) and testing for a tendency. A...

I wouldn't correct for it. This measure would show you (correctly) that volatility usually contracts midday. However... what would an overnight gap do for this measure? Is that something we should correct for? How?

I can tell you from some fairly extensive quantitative fundamental work that is not a neutral bias screen. I agree with your ideas of finding companies that will move, but I disagree with the idea of finding "quality" companies. For me, if the company is a piece of crap but everyone's buying...

FWIW, I disagree with a lot of these criteria, but it depends on what yo're trying to accomplish with the screen.... daytrading? swing trading? investing? longs only? shorts only?

I'm not sure about Spydertrader's answer, but I dont think it answers the question you're asking... perhaps I misunderstand the question you're asking though. To generalize, there are probably two volatility calculations you should be aware of. 1. Average true range. I think everyone...

Your expectancy formula is correct, and I know many trading books give this formula the way you wrote it. However, that's not the most useful way to think of this if your goal is to build intuition. For instance, one way to think about this is to imagine there are 5 outcomes when you get in a...

Your success certainly doesn't threaten me in any way... we have some kinds of trades that have stop losses bigger than your entire account. How could I be threatened by your success? I'm happy you made money, but my concern is that you don't realize how you made money. Making money doing...

I am not smug. I am certainly not jealous of you piker. I certainly do know something you do not. I know you... exactly the type you are. You are a failed trader who has given up and who is now sure that no one can trade. At the same time, you continue to hope that someone out there is...

one more thought on big picture before we jump into the volatility stuff in more depth. i made the claim that the market was mostly random in response to jack's claim that the market was orderly and predictable. someone responded that they disagreed with my word 'random' but he thought the...

Congrats on a decent year. Not setting the world on fire, but solid. Now, if you're smart, you'll ask yourself to what you really owe this success. If you're not... well...

Let's take a step back and look at the 30,000 foot overview for this thread, just be sure we're all on the same page. In addition, I'll also talk a bit about how I view the market. Expect nothing specific here, but just background. First of all, the kinds of trading ideas I want to look at...

Ok EVERYONE please listen. You too Jack: Stop. Everyone has a point here... Jack has his viewpoint to defend and I do see what has happened to other threads when Jack comes in. If we're going to do this, let's do it right. Let's resume the conversation on volatility and testing ideas...

Ok... enough... I knew I was possibly opening a can of worms with Jack, but I want to do this right. Jack: respectfully, give me a week or so to look over your stuff and really think about it. Might be more like two weeks, but I'll get to it and we'll come back to it. I don't want to...

And secondly, a few general thoughts: As I read your post and tried to sort through what you were saying (in all honesty, your writing really can be difficult to read) I noticed a sense of superiority in what you do compared to what everyone else does. This is ok in a sense because everyone...

Ok... I read your 2000 word post in a taxi this afternoon... I'll read it again and also look at some of those other posts, but let me share a few thoughts. I'm going to break this up into 2 posts just to be crystal clear (hmm... there's that word again) Please explain to us exactly how to...

Yes, thank you. I'll look over vorzo's posts because they seem to be fairly lucid. I guess stuff like this irritates me sometimes because my experience has been that trading is really a lot more simple than people think... so I try to avoid complications as much as possible.

I'm sitting in an airport watching the weather roll into NYC and flights get delayed more and more... happy new year. I was hoping to use this time today to look at some of the posts on volatility that have been done, but let's deal with Jack's material first. I don't want to see this thread...

I think it would be helpful if we focus on small details right here at the beginning of our discussion. Let's leave bigger picture considerations, such as why your approach is better than the Conventional Wisdom for a bit down the road if we could. I'm still confused and am really going to...

Hi Jack, Ok I'm not really an ET regular. Before I started this thread a few weeks ago I checked in once every few months and just browsed some threads. I had come across some of your posts and the general reaction to those posts, so I think I understand some of the issues we may find...