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The mean I came up with is 10.98% If you throw out the right tail (don't hold your winners) the whole thing goes negative.

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I computed the terminal wealth and compounded annual rate of return for all stocks that traded on the NYSE, AMEX and NASDAQ between the years 1983 and 2006 (including delisted stocks). I did this on a total return basis (dividends re-invested). Attached are the resulting distributions. I am...

The exact definition of trend following will be argued for many years to come. I want no part of that discussion. There is survivorship bias in stocks, in mutual funds, hedge funds and CTA's. This is mostly due to poor databasing and record-keeping & accessibility by data vendors and...

14 of them are trend following programs; a few are mixtures of trend & volatility trading. There is one arb fund. John Henry runs only the fund that has his name on it. The point is that using JWH's recent performance isn't representative of the average trend following CTA. You are guilty of...

Looks like you cherry picked the worst performer. How surprising. Campbell Financial M & E (Large) -0.33 Crabel Diversified Futures Program 5.02 Winton Capital-Diversified 7.10 Capital Fund Management-Discus 29.94 Chesapeake Capital Corporation 14.44 IKOS Financial Fund 7.94...

Regardless of how you measure correlation make sure you are familiar with the phrase "correlation breakdown". Correlations between stocks are modest and relatively stable when the stock market is rising but quickly approach +1 when the market is falling apart. No amount of co-movement...

My software is custom built at a cost much higher that 27k. It's worth every penny. You paid $60. It's probably worth every penny. This thread was started so that he could get feedback regarding the indicated cost and the indicated features. The software you use, which aggregates a bunch of...

Congratulations. However, I fail to see why you felt this thread needed to become about you and your needs. Both seem to be rather off topic.

No, you didn't. You only ensured that you don't have the software needed to accomplish the tasks he outlined. However, you did manage to funnel an amazing amount of the day to day noise the markets generate into a single computer.

Unfortunately, high fixed costs are part of the barriers to entry that keep the majority of individual traders on the wrong side the 90:10 rule. It's the way of the world.

I used Expo for awhile back in 2001 - 2002. It was excellent; no complaints; just wasn't a good fit for our firm's needs. If you have the means to put the program's strengths to good use, the price of the program very reasonable. Reproducing Expo from scratch would take multiple...

Professionals routinely pay more than this plus monthly costs in excess of 1k for a complete solution (true portfolio testing & same logic forward trading). 27k is half what you'd pay an administrative assistant. Which is more critical to future health of the firm? Priorities...get 'em...

I believe http://www.fasttrack.net/ has the ability to do this (maybe via an add-on tool). Also, fasttrack can properly adjust for cash dividends, so the 'single unit' result won't contain hopelessly flawed data. ec

Sorry, that wasn't meant to have any significant message to you. I've been thinking about your situation for a few days now. I commend you for asking the right questions and being honest with yourself. Few people can do such; you must have a very practical streak in you. I've been on...

After a time skill ceased to matter. The water became so crowded with other surfers that crashes and fights were more common than nice long rides. Eventually even dawn patrol offered no respite. (noise) So the lonely surfer took his game elsewhere. Northern California? Costa Rica...

This might be the best post I've ever read. Bravo!

Why do you believe the oil is "ours"?

The dark green line at the bottom of the chart is the equity curve of professional short-sellers since 1993. It would take a whole book to cover the advantages professionals have over retail traders (for short selling). Despite securing every possible advantage available they still can't turn...