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One approach I've used in the past, with reasonable success, is along these lines:(very important): Figure out what timeframe you're interested in. (You might use "duration of average trade" to measure this.) Create a dozen mechanical trading systems that operate in general around your...

Proposition 1: If you are a good poker player, then you will also be a good trader. Proposition 2: If you are a good trader, then you will also be a good poker player. I know at least a dozen great traders who are either terrible poker players, or who dislike the game of poker and don't...

Several very profitable mechanical trading systems use ONLY the close when calculating their buy and sell signals. For them, the high and low are irrelevant. Several other, also very profitable, mechanical trading systems use ONLY the high and low when calculating buys and sells. For them...

And here is the raw data which created the plot. (Only one attachment per post here on ET)

Here is a plot of the premium between the eMini S&P futures, and the cash S&P index itself. The expected "sawtooth" behavior is clearly visible; the premium decays to zero as the futures contract gets closer and closer to expiration, then on rollover day the premium suddenly jumps up to reflect...

Alas this arbitrage play has already been discovered and exploited. As a result the S&P futures always trade at a premium to the S&P cash. Plot them on the same axes to see for yourself. The premium (difference between cash and futures) is equal to the cost of borrowing the funds necessary...

Sounds like a good homework assignment for a college class! If I were the professor, I'd be looking for answers such as "Very Light Jet (VLJ) air taxi service". Your friend Google can supply thousands of articles' worth of reference material.

The first system developed and sold by Futures Truth was called "Universal" with a longer-term variant called "Universal LT". It is tracked in their newsletters and you can see its performance compared to three hundred other vendor-sold systems. It's usually not in the top 20% (the newsletter...

Ralph Vince's first book. Exponentially more impactful than other books, for me.

1. Make it as easy to modify the composition of a portfolio, as it is to modify the value of a parameter. Treat the portfolio composition as an optimizable variable. 2. Make it easy to systematically withdraw cash from the account using some user-specified algorithm. Handle the common...

Jack Schwager's very first book contains a section (within chapter 27) called COUNTER-TREND SYSTEMS. You might recognize Jack's name, he also wrote the popular series of Market Wizards books. The section includes the following wonderful passage: A critical distinction to keep in mind is that...

Have you looked at Trading in Choppy Markets: Breakthrough Techniques for Exploiting Nontrending Markets by Robert Barnes? It is selling for $6.45 (used) at Amazon dot com. I think it's a decent book and contains some good ideas. You'll have to install modern positionsizing yourself; the book...

Equity volatility arbitrage International statistical arbitrage Closed-End Fund arbitrage Capital structure arbitrage Odd-Lot Mortgage aggregation Commodity trend following Environmental credits trading Systematic pattern recognition ECN rebate trading PIPES Some futures-specific...

Another search term is "synthetic data". This post has some references to books that give algorithms for creating synthetic data.

A shame that the Chart facility in Excel doesn't have a spell checker. Type "likelyhood" into dictionary.com (or MS Word) to see what happens.

It's realistic to expect that your long term average value of "MAR Ratio" will be in the vicinity of 1.0. This is over a three to ten year period. MAR Ratio is (Compound Annual Growth Rate, in %) / (Max Drawdown Ever, in %). It is the measure of Reward/Risk (or, more generally, Gain/Pain)...

George Carlin claims that kids of his generation who swam in the East River (NYC) have incredibly strong immune systems. I'm sure he means, the ones who survived!

Good name, "Robin Hood Investing." You rob from the rich and give to the poor.

Many people think there are only two types of trades: winning trades and losing trades. But that simply isn't true, there are four types of trades: winning trades, losing trades, good trades, and bad trades. A good trade can lose money and a bad trade can make money, the markets are perverse...

CEO Otellini is in a good position; if Intel improves, he gets the credit. If not, Craig Barrett gets the blame. For Otellini, the payoff schedule resembles a call option: limited downside risk, unlimited upside payoff. So he may decide to act boldly. At least, boldly by Intel standards.