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They haven't?

Do you skip new trades only, or also fail to honor stops and get out of losing trades?

I lived in Saratoga, right next to Los Gatos. The traffic was taking up half my life. It took me an hour to get to work, which was 9 miles away!!! You have to shell out $800 thousand for 2 bedroom cottage with one bathroom. Taxes are nose-bleed in California. Portland? It never STOPPED...

I've lived in a lot of different cities (Seattle Washington, Portland Oregon, San Jose Calif, Los Angeles Calif, Tulsa Oklahoma, Oklahoma City, Wichita Kansas, Savannah Georgia, Phoenix Arizona) and a few others if I thought about it long enough. I did a little time in Raleigh/Durham area...

No need to apologize. Ignorance is the initial default for everybody. You are asking the right questions. You can learn just about everything you ever wanted to know about ETF's right here: http://www.etfconnect.com/ or http://finance.yahoo.com/etf/education or http://www.ishares.com...

Toby is 100% correct. I would stick that money is a diversified exchange traded fund like IWM or MDY (or a little of both) and forget about it for 10 years.

Check again. Reasonably current Excel versions do have a spell check feature that works perfectly fine on the chart object. I just didn't use it. I did get a chuckle from your sarcasm. I hope I spelled "chuckle" right. Or should I have written "spelt"? Come to think of it I opened the...

The CRSP database from the Univ or Chicago. A product called MarketQA from Quantitative Analytics. A product called Unfair Advantage from Commodity Systems Inc. Ford Equity Research Database from Ford Equity Research. A company called Global Financial Data. The Factset...

The most successful CTA's in history haven't come close to those numbers despite having every advantage (experience, infrastructure, structural advantages, 24 hour trade desks, etc.). What is it you have that they don't?

A graphical representation of my experiences with the ever seductive "high winning percentage".

Depends upon the type of trader. A corporate trader who's job it is to maximize his/her arithmetic mean must posess strong denial skills or blessed ignorance; either way the job's goals are a deterant to honesty. A trader that is trying to maximize his/her terminal wealth relative will do...

I think what acrary is saying is that he entered the game with some preconceived notions and built a foundation to support them. Then constructed a model upon this foundation with arbitrarily forced measures (1 day, 2 days, etc.). He needed to be right in his assumptions for this elegant, but...

It looks to me that IBJ was simply conveying facts to you. It's a common phenomenon: people trying to short stocks that are not shortable. Don't be so sensitive... IB isn't perfect but the cost savings more than make up for it.

How can you select at random (sample & replace) and maintain sequential correlation at the same time? I have always been under the impression that the two are mutually exclusive.

Regarding your backtested results, does your analysis properly account for corporate actions? Were delisted stocks included in your analysis? See the appendix on data integrity in the following paper for reference...

Hmmm...it's a small difference. Could it be due to transaction costs associated with the kind of broker that "foreign" investors have to use? I can't get into Korea using IB; would have to pay more through Goldman to get access. Maybe the local Koreans are paying discount rates and most...

You need a collection of trade results, the more the better. If backtested numbers are used make sure realistic transaction costs (slippage & commission) are reflected. Calculate mathematical expectancy. Plot mathematical expectancy as a time series. Evaluate the downside volatility of this...

I can't believe I just wasted 20 minutes of my life reading the recent posts on this thread. I'll never get that time back.

You are right to conclude that position sizing is the most important variable in real life. But that was not the point of the paper. The paper's job was to determine if simple trend following entries and exits would have resulted in a positive mathematical expectancy, an "edge", for trading...

Yes please elaborate on the "flaws" and how the results were "skewed".