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Welcome Jack. Everyone please hold the discussion right here if you would please. There is something we need to do before going further. It will be a few hours before I can post more but please wait. Sorry and thanks.

Yes you would think it would even out, but my experience has been that it doesn't. The way I learned about this was by developing systems on settlement data and discovering they didn't work then figuring out why. Would have saved some money and time to have someone point out something that is...

Let me reframe your question to be "why can't i reliably execute at the closing print?" Understand that the issue with BoWo goes beyond that, but let's deal with your question in simple form. Basically, what you see with a lot of stocks is that they trade with normal liquidity up to 16:00...

As you can see, I'm still avoiding the intellectual heavy lifting in this thread... but this is a good question. Let me answer in random stream of consciousness fashion: Trading is hard. For those of you who have done it well, you know what I'm talking about. For those of you aspiring to...

This is almost surreal... not sure this has ever happened before in the history of the internet. We have a thread with differing opinions and no flaming. Weird. Again, not ignoring you guys... I'm out of the city but actually finding myself working longer hours on 'vacation'... first of the...

In spite of my many valid points, and the work I did to actually improve the so called Pairs System (which actually isn't pairs trading at all), BoWo is choosing to ignore me. The reason is obvious... he doesn't know what he's doing and doesn't even understand the issues I have raised...

No need to go back to being a spectator TSGannGalt. Other opinions and perspectives are certainly welcome here... as I have said many times this is a big part of the reason why I work with other people rather than working alone. I believe I understand most of what TSG is driving at here...

There have been a lot of good posts in this thread and I confess I haven't been able to carefully go through them all. I know it sucks to ask people to do more work and then not carefully evaluate it, but if you have posted anything here you can bet some people are carefully going through it...

Black Diamond - thanks for this. a lot of info... give me a couple days to look at it before answering.

Wow... I think I finally caught up on all the posts here! On this position sizing idea. I think this basically comes from the Turtle methodology and understand the idea there was to equalize the impact of various positions on the daily p&l. Be clear on that goal... you have a number of...

Another installment investigating backtests, walkforward results and system design in general. To kick us off, here's another post by BoWo from the Collective2 boards (Thank you, BoWo, for suggesting I look up your posts there. it has provided even more entertainment than your posts here.)...

First of all, thank you to everyone who has contributed to this thread. I think we really have something of value here, and I hope those who are lurking are also finding some interesting ideas. If you have questions, don't be afraid to speak up. Well, since Mike let the cat out of the bag...

Use something like this: = (today's close - lowest low of past 10 days) / (highest high of past 10 days - lowest low of past 10 days)

So you actually had no point?

Just wanted to invite BoWo to continue to the discussion of the new, much improved BBB (BoWo But Better) QID QLD system. I thought it was also worthwhile to revisit the fundamental concept behind this system. We do need to be clear that this is not a pairs system, but is a system that...

Mike, thank you. I don't want to write a half assed reply so I will get to this soon. I have some thoughts on volatility I was planning to share anyway and this provides a good framework for those. I will try to do it later tonight but I'm a little short on time... and I want to leave BoWo...

I think of everything as a percentage return, not a per share return. That is the way to normalize across all price ranges. In fact, the actual performance on a percentage basis is also low at this point in the process so I think your observation is a good one. it's obvious that we're not...

Hey TZ, what is your point? Are you suggesting that I intend to launch a website? Is this what you are trying to say? If so, man up and say it. If not, then what is your point?

Well in backtesting you will see pretty consistently that most technical ideas for stocks do better on the long side than the short side. For a lot of mechanical systems, the best you can hope for on the short side is that they break even after transaction costs. So this raises an obvious...

It's fine to have slight differences in the database, but people starting work like this are surprised to find that even a simple question like "what price was COH on 4/1/06?" might not be simple to answer. We can proceed with the slightly different trade lists I think. Short thoughts on...