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I'll wait a week or two, giving you a chance to explore the Wealth Lab website, look up those authors' books on Amazon, and perhaps do a bit of poking around on your own, either using Google or (gasp!) visiting a bookstore or library.

Depends on your definitions. There are lots of non-subjective, rules-based, unambiguous trading systems being traded every single day. The books written by Lars Kestner, or Thomas Stridsman, (or Tushar Chande, or Charles LeBeau, or ...) are brimming with such systems. There are over a...

Mostly this is a disagreement about definitions. What's "Technical Analysis"? What is it that a "Quant" does? How much do they overlap? How do they differ? For example, where do you put "Rule Based Mechanical Trading Systems?" Some would say "B". Others "A" and still others "C". Each...

Summary: if you had his money, you would spend it in a different way. OK. Thanks.

Become a professional, get some clients, and make some profits. When the business has enough money, buy the CQG databases with pre-tax dollars, and write it off as an expense. Now Uncle Sam and the State of Missouri (or wherever you live) are paying for part of the cost. Consult your...

retail traders seem to love McMillan professional traders seem to love Natenberg (link) off the beaten path perhaps, is the iconoclastic book by Katz and McCormick (link) which I really like but few others tend to put in their top five. finally there is the curious case of William...

The Commodity Systems Inc correlations page (pay per view) gave some unusual pairings: (Goldman Sachs Commodity Index) vs (Crude Oil) ....... Correl= +0.980 (Euro German Bund) vs (British Sterling Rate 3Mo) ....... Correl= +0.958 (Tokyo Rubber) vs (COMEX Gold) ....... Correl= +0.950 (Crude...

You are using a classical Technical Analysis indicator named "Momentum"; instead of accessing it by a function call, you have merely expanded its guts into inline code. Here is a description of the indicator "Momentum" from a standard reference textbook: It saves a lot of space, and makes the...

The spread between Kansas City Wheat, and Chicago Wheat, has been in quite a nice trend for quite a long time.

First it is important to define what you mean by "trade successfully". You might have in mindOver a long period of time, achieve (profits > 0) after deducting commissions and order slippage. Beat the S&P500 after deducting commissions and order slippage. Achieve (Jensens_Alpha > 0) after...

Wrong Barclays. This one is in Iowa, USA. From their web page (previously referenced): The Barclay Group, founded in 1985, is dedicated to serving institutional and high net worth clients worldwide in the field of hedge fund and managed futures performance measurement and portfolio management...

The Barclay Group publishes their Systematic Traders Index which shows the performance of 400+ CTAs that trade other people's money using mechanical trading systems. (You can find the details here.) These CTAs and their trading systems are profitable; in fact, they are so profitable that...

Beware of anyone who mentions the "word" expectancy. It indicates they haven't been exposed to classical Probability theory including density functions, distribution functions, moment integrals, and the like. Usually "expectancy" people are long on opinion and short on facts, in my experience...

Asymmetric payoffs aren't necessary, either in theory or in practice, to achieve profitable results. Here's one way to make profits with symmetric payoffs:Obtain a technical entry signal with >55% accuracy rate (for example, following the protocols on pp. 170-179 of LeBeau and Lucas's book)...

Actually, people do. In the field of nonlinear optimization, the "Least Pth approximation" applies exactly this idea (raising deviations to the power P, summing, and taking the Pth root). Note that in the limit as P approaches infinity, this calculation merely returns the largest of the...

Robusta Coffee is assigned symbol "LKD" and commodity number 148 by Commodity Systems Inc. (home page). If you subscribe to their data you get London Robusta Coffee futures prices back to January 02, 1968. It isn't free but then again, most things in life aren't free.

Just be sure you realize that when you say "Stock market returns do not have infinite variance," you are also saying "Mandelbrot is wrong and I am right." Here's an early Mandelbrot paper on the topic: http://www.garfield.library.upenn.edu/classics1982/A1982NR91700001.pdf And here are...

I think you mean "of any distribution with finite variance". Plenty of ET-worshipped demigods vehemently insist that the distribution of stock market returns has infinite variance. Two of them are Nassim Taleb and Benoit Mandelbrot (genuflect!). One big reason why they advocate the...

If the goal is to determine the "trendiness" of a certain market, independent of any particular trading system, one way to accomplish this is to run that market through lots of different trading systems and combine their results. Now instead of measuring the trend-profitability of a market for...

One brute force method that's guaranteed not to underestimate the bid-ask spread is "The 100% Slippage Assumption." Assume all buy orders are filled at the high of the bar. Assume all sell orders are filled at the low of the bar. If your method is profitable under these extreme worst-case...