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For this run I believe there were 37 samples that were averaged. I chose 48 months minimum because you need 12 before you can do a rolling average. Then at least 30 more to get some sort of base close to a normal distribution. Of course there is sampling error introduced with such small numbers...

If you want to create a program here's how I calculated the correlation between two systems.

We're back to the weighting program this time using two models. You can see the modified sharpe ratio was improved by adding a second model (better than either of the single models by themselves). In the two model results there are a couple of things I'll go over. The first is the weighting...

What I'm doing is describing the process which I think might be valuable to a developer. If you like, once we've achieved the goal (first model the results to achieve then achieve the results modeled), I'd be happy to post the month by month results on a going forward basis with any required...

The weighting between the models is then passed into a money management program. To make the process easier to understand I'm using a fixed per-cent risk model for the selected portfolio. Here is a run using just the one model and projecting the performance out 12 months. For the first pass I'm...

From the first part of this journal I posted some about weighting different systems using the modified sharpe ratio. Here's a run using the first model. I'm using only monthly performance numbers to come up with the weights. Obviously if only used one model the weights would be unimportant. The...

Ok, I've given up on the whole word processing "professional looking" project. I don't have the desire to become a expert on the Microsoft products. I also noticed on the work I've completed that I kept going through notes and pulling out more and more related material. I think I could probably...

Excerpt from a future CNBC interview (when I'm ready for the glue factory) Ron: What do you make of this market? me: It's currently a trader's market (by definition any market not hitting new highs is a trader's market). Ron: What do you tell the average retail investor to do? me...

One thing that doesn't make sense is the panels argument that the top 2% get most of the benefit from the home interest deduction. The reality is if you're in the top 2% income earners the interest deduction is phased out so you get nothing. I have no mortgages on my properties because there is...

I'm in the top 1% income bracket. According to research I've seen the top 1% earn 16% of all income and pay 34% of all Federal taxes. My opinion is the tax system should be class neutral (if you earn 10% of all income you should pay 10% of all taxes) . As it is now, there is the paying class and...

Iy you're a successful trader and confident in your abilities you take x% of assets with a high water mark that you and the client agree on. If you don't hit the high water mark you get nothing.

http://www.futuresexaminer.com/ http://www.futurestruth.com/

A good introductory book is Thinking Strategically - The Competitive Edge in Business, Politics, and Everyday Life by Avinash K. Dixit and Barry J. Nalebuff When I was a new trader I thought trading was a tactical game. (Buy when x crosses y and sell when y crosses x). I knew I had to trade...

I've looked at the the blogger stuff and I don't think it's what I'm looking for. What I'd like to develop are documents that can be printed and used for reference. I'm planning on creating something with indexes and additional info. on topics to explain concepts as well as cover the main...

I pointed my thread to one of my kids at college and asked for a opinion as to how to organize this so that the work I post is not lost in the masses of people that need to be heard. The first suggestion was to use Word to create documents (it's on my kids systems, but I seem to be a...

All of the stuff you talk about were the result of writing down questions and working for a long time on coming up with the answers. They were inspired by the interview in The New Market Wizards with Monroe Trout (87% winning months, 60%+ annualized return, less than 8% max dd, edges - i.e...

You multiply by the square root of 12 to annualize the monthly standard deviation, not the return.

I'm here. Just not up to doing much writing right now. I've been analyzing the past posts with a objective view and I'm pretty bummed at the quality of the material I posted. As soon as I'm ready to invest a great deal of time I'll let loose.

I haven't given it much thought. I'm just unwinding right now. I think what I'll probably do is go back through the thread to get a sense of what I was doing and then go back to the notebooks to see what info. I can post that I wouldn't mind being in the public domain. Then I'll start posting...

In your example you're showing 1-2 daytrades per-year. No matter how good they are I think that would be a waste of time. I wasn't planning on posting about edges in this thread however I'll give you the basic process for mining them since you're so persistent. First find out what is going on...