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TS requires at least 2 years of data before it will compute the Sharpe Ratio. It works fine for me in my testing with intraday data. As a % it's: (ending equity - beginning equity) / beginning equity for each period. The Sharpe ratio is a time independent measure of dispersion of...

1. I took all the markets that Pinnacle Data uses (I think it's about 68). 2. The only thing I've done is built a table of number of markets that trended for x days in 10 day increments. The idea of creating random noise distributions and ranking the markets against them is intriguing. I...

They are very similar. The weakest ranking shows how strong/weak the trend was. The length shows the duration. On the weakest ranking the NQ was 12th (11th was T-bonds). The actual difference was quite small ND - 1.110 NQ - 1.128. Maybe the difference is caused by liquidity differences betweens...

I got the idea for trend strength from a article in Technical Analysis of Stocks and Commodities. The article was titled Futures According to Trend Tendency by E. Michael Poulos. It's also in Volume 10 starting on P. 38 of their bound stuff. Here's the link to the article on their website...

One of my year end activities is to rank the markets. Since many futures traders are trendfollowers, here's some trendiness ranking info. that might be of use. Here's the top 20 strongest trending markets from 2000 - 2002 of 30 days or more in duration. 1. Short Sterling 2...

It's probably a typo. I have the 1994 revised edition with the roulette example on pp 36-37. The correct house edge of 5.26 cents per spin is listed.

I wish the IRS learned that traders can't estimate their income!!! I just had a call with my accountant and it appears that he's witheld 28k+ less than I need to! That's in spite of sending in 100% of my first quarters profits. Somehow every year my income gets skewed to the end of the year and...

Received a package in the mail yesterday from this website including 10 years of historical data on the Italian FIB futures market and other european markets. I guess they're looking for people interested in submitting a trading system for their next competition that starts 1/3/03. (no charge to...

I've noticed less volatility and less volume than normal. Other than that, it's been business as usual (same opportunities in a longer timeframe). I've got to believe overnite positions are lighter than usual due to the Iraq talk. In my own overnite trades, I'm buying puts/calls to hedge my...

Remember, just because you think they're out to get you, doesn't mean there're not. If the NYSE is being manipulated it's safe to say they'd have to be using program trading strategies (currently averaging 30%+ of daily trading volume). Since 60% of progam trading is now agency trading, the...

If your health insurance bill is too high, why not just convert to a higher deductible and use a MSA? http://www.msainfo.net/FAQ.html

Then don't build a system where it has an expectation of 9 losses in a row. If you're only comfortable with 4 losses in a row, build a system with profit targets and go for the high win %. The formula for estimating the maximum losses in a row is: S = ln(1/T)/ln(L) where: L = % losers S...

No edge....without it, you're at the mercy of randomness. Lack of discipline. Even if you knew a great opportunity existed, you still need to pull the trigger. Psychology....only important when losing (have to build up the crushed ego). Money....only important to the extent that you...

We used to use gambling chip colors when talking about order sizes to our guys on the floor. Orange chip = $1,000, so when I talked to a floor trader about upcoming orders we'd talk like "Tell Jimmy to hit the can now, I'm gonna need a orange of SPU's in about 10 min." (meaning I'll need to buy...

Have you consisdered that today could be a trend day to the downside? Check the open and high? If it is...we won't be seeing 913 again today. A short around 910 risking 3 pts. would be a gift today. Here's some music to put you in the mood while you consider it...

I sent in the forms with my SSAN and signature to prove suitability. Then, the trust sent in the same forms with their TAX ID and them as custodian for my IRA.

It's going down, down,DOWN.... http://www.twistedtunes.com/asx/tt_334_2.asx

Put the data into separate columns and use the correl function. You'll also need to know how many rows are in the data. Ex. Column A = Open, B = High, C = Low, D = Close 252 rows of daily data To check the open versus the close, type in =correl(a1:a252,d1:d252) in a separate cell.

ok, here's my guess: Random: 1,4,5,6,10 Real: 2,3,7,8,9 Method used: Just looked at open-close gaps. Background: Retired derivatives trader after 14+ years at a investment bank.

I'm assuming you're using data1 for daily and data2 for weekly. To get what you want, setup the workspace so that data2 (weekly) is from a separate ascii file that you import once to get the workspace setup right. Then you just use either a spreadsheet or simple program to read your daily data...