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Could you elaborate? If the material is unclear I can go over the parts that you may not be getting. I'm sure others are in the same position but just don't want to ask.

Good stuff, thanks I'll look into it. The big picture idea about correlation was that combining non-correlated (or weak correlated) methods can provide some benefit toward improving the modified sharpe ratio. One of my future research projects was to try to determine the size of the benefit.

I read his interview in the Oct. 97 issue. Doesn't seem to offer any value from what I see: http://www.traders.com/Documentation/FEEDbk_docs/Archive/1097/Abstracts_new/Interview/Interview9710.html I ordered his book that was published in 1997. I'll check it out when I receive it. I have the...

No, I tried to demonstrate how the frequency of trades and profit factor contribute to describe a universal truth. I believe a formula can be derived that can be used to describe the likelihood of profitability within a period of time. I never spent much time on trying to derive one (Monte...

I think using expectancy as a measure of efficiency has some value. My point about the profit factor was that it is a valuable tool for improving CONSISTENCY. Thanks for the thoughts.

No I haven't. If you check the posts since my last post you'll see either comments or completely off topic posts. As I said in the beginning, I'm ignoring most comments. It's impossible for me to provide the full depth of info. and still keep it fairly easy to follow, so it's been necessarily...

I would add other non-correlated instruments if I could do 5-10 trades per-month in the instrument and it improved the sharpe ratio. To be honest I haven't spent much time looking for high frequency trading ideas outside of the SP market. I spent some time looking for longer term trading methods...

I was referring to the process of mining the data. I had been using the nets to find dependencies. I just came up with a better process of doing it that saved lots of time. Didn't mean to imply that I found something better than nets.

If you've learned this and forgotten it, then no doubt you've replaced it with something better. Please contribute anything you're willing to divulge that goes beyond the material. Obviously you're more advanced than me and I would be grateful to any clues as to what additional direction(s) I...

That's a great link. Unfortuantely the z scores are computing the area below z incorrectly in the top part. For instance, a z score of 1.96 should indicate a area of .95. The site figures it as .975.

Quote from onelot: acrary, regarding the correlation of multiple instruments versus model correlations: after finding no correlation between instruments should we look at the instruments as separate models if we are using multiple instruments to one model in order to carry on the sharpe...

I don't know what turtle trader uses. I'm sure my method is pretty simplistic. For daytrading I just calculate the range (high - low), then average it for the past ten days. I use ten because I want my model to cut back on size pretty quickly if the volatility jumps. Then I divide the highest...

You already know, as liquidity goes down time in trade must go up. Applied to your situation, you might have to create a smaller pool of securities that have sufficient liquidity for your current strategy. Then create another method that uses a longer holding time for the less liquid...

I don't look for a market for a system. Each system I've developed is targeting some behavior. If that behavior is present in multiple markets, then I could test it to see if my system captures the behavior better than random. If so, I'd just trade it on that market and check to make sure the...

Sorry I was away yesterday.Weather forecast for yesterday was great and today was supposed to be bad so I went flying. Today I'll be around for most of the day. In my haste to get finished with last topic I made a mistake. I went back this morning to try and understand how models 1 & 3...

Forgot to add the annual results for model 3. Here they are:

Correlation cont'd. Well, here's the snapshot of model 3's annual results. As you can see the win % ranges from 35 - 60 and the profit factor ranges from .79 - 2.89. Obviously this was a bad choice of a model to include in the tests. If the models are inconsistent, then everything else that...

Correlation cont'd. Well it didn't turn out as I had expected. I applied the weightings as spit out by the program and did the same totals as was done earlier. In column E are all 3 models combined with the optimal weighting. In column F is the combination of models 1 & 2 and in column G is...

Correlation cont'd. With the one number I now have a way of doing comparisons. If I combine say model 1 and model 2 and run the same tests I'll get one result. If I combine model 2 and 3 I'll get another. And if I combine 1 and 3 still another. Then if I do many runs in which I weight each...

Yes, you can. If you do the tests and inspect the rolling correlations you can determine that the instruments are non-correlated. I do that for some markets with longer holding timeframes (mainly because the further out in length of trade you go the better a single trendfollowing system seems to...