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The SQL idea is a great one -- I'm working now on getting my backtester to insert the indicator values into SQL instead of CSV's and spreadsheets. This will give me better querying ability. Another idea I've tried researching is: instead of "a" system, with one set of rules, increase to 2 or...

My problem is I can get a probability estimate from the data, but the estimates vary across samples. Eg the probability from Jan-Apr is different from the probability found in May-Aug. Then, if I get the probability estimate from all of my data instead of smaller samples, they all tend towards...

I saw that movie, that was The Fugitive right? Where the mystery guy Harrison Ford is trying to track down was missing an arm and had a prosthetic one? Friction -- the story meant going down in to the earth, or rather perpendicular ("T" or "L") to the point of contact as the formula is F =...

I think I understand your points about data mining. I realized some of the custom indicators I've made for my backtesting software are not for signals or trades but for gathering information, it occurred to me this may be data mining. When you get your probabilities, are you interested in how...

I saw that movie -- it was Beowulf, right? What about the tires/friction question? I just wanted to know if I was right, no need to give away the answer just yet.

I saw an interesting talk on fora tv yesterday where the speaker noted a Marchenko-Pastur distribution of the eigenvalues in a random matrix http://fora.tv/2010/03/01/Physics_Finance_and_Some_Useful_Mathematics

I don't want to answer all the questions, so to give other people a chance, I'll wrap my guess up in a secret code: the same direction as what opened up at the end of the story of the White Elephant, and like a capital "T" or "L". Or, this question should be "F uN" to answer ...

For the forest, I'd guess it's something like distance from the edge to the center; once he passes the center, he's then running out of the forest. This answers "how far can he run", as in what is the maximum possible -- not "what is the probability he would actually pass through the center (or...

hello -- could you pm me too? thanks

Don't mean to argue, but ... it appears you're making an assumption, not stated in the initial question, that somehow Dow Jones is aware that 7 cigarette butts would magically turn into a full cigarette. Further, you are assuming that Dow Jones can in fact collect up to 7 butts, in addition to...

this is fun -- I'll guess "scythe" ??

try googling something like "free software for building and testing trading strategies", there may be some simple freeware apps to get started

I didn't test it out, more trying to reason by the theory alone. I agree, it's probably not a practical approach and there are probably simpler ways to improve trade performance. Also I'm more in the trade independence camp. But, I'm interested in theory that challenges my thinking, assumptions...

I'm currently at: Strategy actions: wait/skip/enter/long/short/hold/exit/adjust stop/adjust limit Using the feedback loop of consecutive trades, one more action to add: abandon or review strategy (after a larger than expected losing or winning streak) The reasoning as, there is a low...

Plugging your trade stats into my expected max losing streak formula: s = ln( 1/ number of trades ) / ln(loss rate) s = ln (1/830) / ln(.25) s = -6.72... / -1.386... s = 4.84 if that's right, then a losing streak of 5 would be expected, as the maximum losing streak.

I think, per AdamG_SMB's comment, it should be looked at as "of those that made it here, how many continued?" Of 117, 24 lost again = 24 / 117 = 20.5% Of those 24, 6 lost again = 6 / 24 = 25% Of those 6, 2 lost again = 2 / 6 = 33.3 % Assuming there's some error, those are close to 25%...

I don't know, but I think that sounds right. For 2), you can get some new info from past trade outcomes (or some other stream of data knowable in the present as you go) for the decision making for the next trade. Everything I've read, and my general experience, is that trades in my systems...

How about this: since I control my trades, they can be independent or not independent, from how I make my system, it's my choice. More important : from the point of trade entry, is the price movement after entering next trade going to be independent or not independent from what happened in my...

Thank you MAESTRO for the encouraging comment, and engaging this discussion. Also, I've wanted to thank you for your comments on this thread: can linear regression predict the future? http://www.elitetrader.com/vb/showthread.php?s=&threadid=181558&perpage=6&pagenumber=1 I was able to follow...

Let's see, maybe this is on the right track: reading that pdf on Requisite Variety, we'd want to reduce the number of possible outcomes. The formula, in simplified terms, is: outcomes >= possible disturbances / possible reactions so minimize the number of possible outcomes, hopefully to a...