Search results

just to prevent that i step on someone's toes ... this is more fun thread, isn't it? i am not so sure anymore after lights' (nice handle BTW!) story ... are we serious about something here. if this is the case i raise my probability to sixty nine!

jim sorry for the handle issue. i do not play different identities, it is just a few years ago a "nonFriend" of mine appeared on this board and i preferred to hide under a new handle before he could track me down. sounds childish but was crucial to me at that time. sky cleared, we have no...

hi. another refco thread. i am interested in the effect on the AI industry, especially october marks for the hedge funds. i would have thought that managers can hide the consequences of refco behind secretive doors, but after rogers had his coming out, i think this is more difficult now and some...

we had segregated accounts with refco futures. we had all money back within a week. from moment one i was sure this would happen. IMHO segregated accounts ARE backed by the other clearing members of the exchange, thus by the exchange, thus by the system itself. some brokers incentify clients...

admittedly i do not have any idea bout Gann. i got the rational behind squaring price, you overweight the outliers, but what is the point in squaring time? what time? what does it tell? ??

man you think you are funny, don't you ...

Hank do you know an individual "mara"?

hank, one question i have regarding your modelling. you had this oil call that was obviously mean reverting, and you had this black monday call which was obviously range breaking. do you use the same model for these calls? how do you decide when the range will hold and when it will break? just...

agreed on the upside variance. out of hindsight i always found it a pretty good estimate to think that what can happen upwards within a given period can happen south as well. applying that to standard deviation means that i prefer to be conservative and thus use sharpe. but, as i said, i am...

well. yes. the one trade per year entry might be a little drastic ...

really? when i saw the site i thought it was crap. you are trading based on this thinking?

after having witnessed and participated in a number of discussions similar to this one, after having traded several quantitative strategies with several million dollars quite successfully for some time before they started to loose edge, after having listened to different sorts of traders, who i...

if it was not alan i would say that something like this: http://www.elitetrader.com/vb/showthread.php?s=&postid=249509&highlight=system+stopped+working#post249509 is the pure curve fit. many variables, all of them with only loose results by themselves added up. i believe alan is true but...

VIX at 17.74 is good news to me. i would expect we will stay above 15 for the rest of the week, unless the sp goes straight up to 1190. which i find unlikely.

COULD THIS THREAD BE REMOVED FROM THIS PLANET? thnx

i woudl expect some multiyear cycle in real estate. what is the longest time series to look at in this respect? thnx

cutten form your perspective is this worth looking at: 1. calc ln(C(t20)/C(t1)) which is the return over the next twenty days. do that for all days. derive a standard deviation of that return. 2. define rangeRange as ln(max(Ht(0):H(t-20))/min(Lt(0):L(t-20))) 3. calc a rolling EMA...

you know the answers to your questions. IMO it is the starting point of quant trading. good shops do not stop here. maybe they never offer more sophisticated stuff to the public, but they run better things on their own. intraday multimarket futures is a very different story in terms of sharpe...

1. calc the yield of (Cto/Oto) for all bars in your time series. 2. define a condition like (Hto>H(t-1)) AND (Lto>L(t-1)) and calc the yield for (C(t+1)/O(t+1)). i think this would be the simplest way to prove that trend persists. i think it fails for all time frames you look at. trend...

Jesse Livermore is a romantic marketing gag. ... and now there is a risen marketing gag ... get real.