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It's the same product, it's been argued to death on a million forex forums, actually, it's rather a good bullshitter indicator.

http://www.amazon.com/Volatility-Trading-CD-ROM-Wiley/dp/0470181990/ref=sr_1_3?ie=UTF8&qid=1370979096&sr=8-3&keywords=Sinclairs+options

Monte Carlo solves some problems but has other pitfalls. The bottom line with all these mathematical games is that you're trying to optimize future position size based on past events, it's usually in the future where the unexpected happens. It all really depends on the nature of your edge, true...

You have a distribution of returns, not binary outcomes. For an intelligent discussion of this matter see Sinclair's first book.

In the spirit of BrainFuck, don't forget J. Here's some code from the showcase pages NB. total dollars by expense category expensedist=: ([: ~. 2: {"1 ]) ,: [: <"0 (2: {"1 ]) +//. [: ; 1: {"1 ] NB. monthly expense distribution monthexpensedist=: 3 : 0 m =. 1 {"1 ym =. 0 1...

Linear Regression is the first thing that springs to mind, however, remember that slopes calculated off charts are not scale invariant.

Nah, Thorp is an idiot according to the OP, one wonders how many threads he (she?) can start on the same fucking subject.

True, my bad. This thread was winding me up, is there anything more boring than people arguing about fucking programming languages on the internet?

So are you calling your own intelligence into question here? You mean, kind of like you do? Don't stop posting dude, your hilarious diatribes are by far the most entertaining thing on this site at the moment.

Oh God, here we go again...

It's all much of a muchness, I use Postgres on Windows it's free and doesn't have the size limitations that the free versions of sql server has. You can also use C# on linux/mac via Mono. I personally use C++/C# on windows using VS2012 express.

Machine Code! You're such a dilettante, real men download data by poking wires into the back of the machine!

Language fight! I use C++ to download data...silly me.

The problem is not automating the trading, the problem is know what/how to trade in the first place, this is the hard part. So if you have something, you can automate it and it will work, but then you have to monitor because nothing works all the time. If you can combine all of this, you might...

Yep, write a class to wrap it up, but be very, very careful about the conversions to and from the integer, it's very easy get it subtly wrong.

Does your 'gummy stuff' formula take into account transaction costs or price gaps...ummm....nope! Nice try on trying to obfuscate the argument though, you're a funny guy, have you considered a career in comedy?

Both of these formulas are wrong for the continuous case (i.e. real world trading), check out http://www.edwardothorp.com/sitebuildercontent/sitebuilderfiles/KellyCriterion2007.pdf I've heard this guy knows his sh**t.

I'm early forties, but I'm finding myself branching out in all sorts of new musical directions, one of my favs is Delius http://www.youtube.com/watch?v=vtrhVEOteVM

That's some interesting stuff there bob, showing your age a little :) I was expecting some electro-crap, pleasantly surprised. Do you like Serge Gainsbourg?

You're probably using the wrong form of the Kelly Criteria if you're using the win loss ratio, you need to look at the continuous version. As for the use of Gaussian based statistics, well nothing is perfect in trading and using non-parametric statistics isn't going to be the difference between...