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Bill, From the wikipedia page: Now drop the issue Bill. The concept here is trivial and has little to do with what I was getting at in my post, the point of which you missed entirely.

Bill, Arguing with you leads nowhere, why even start? Why don't you just ignore me like you said you would in the past? Again, you did not understand what I wrote and you took it out of context. Mike

It's a starting point... and, the derivation is useless in a practical sense. The main assumption is that the assets are not correlated, and by combining assets and optimizing single asset allocation, one can increase risk adjusted returns. That's a loaded assumption when it comes to...

Hehe... thing is, the questions the OP is asking aren't really that hard. I've always assumed this issue was a fairly standard concept found in traditional portfolio theory, something anyone who has taken a basic graduate level finance class should be aware of.... So each strategy has a...

No I don't think that the OP is going to make money reading about the H word, and I don't really care about that... however, I do know the OP has a history of asking questions and expecting the answers to be laid out for him. I'm sure that if Mizhael starts thinking and does some research...

That's kind of an ignorant statement buddy... Ever hear of ARCH models? How about Heston models? The OP directly asked about forecasting auto-correlation. I gave him a few clues on where to start. Normally I prefer not to just give away answers and let people do their own homework...

There is a ton of academic info on this matter as it is widely accepted that volatility displays significant autocorrelation across all products/time-frames. Understanding regime shift means understanding the concepts behind volatility analysis and forecasting. There is some great practical...

My wife is a *very* attractive attorney. I do have other forms of income though (all passive), but, trading is > 80% of what I make in a year. I have made and lost in one month what she's made in a year...she understands the business and associated risk. It's never been an issue. That, and...

Personal privacy is by far the most important (yet undervalued) asset one can have. I cringe at today's youth throwing out their personal info all over the place. Once that personal info is "digital", it never goes away, no matter how harmless it may seem at the moment.

Since you have backtested the strategy, I'll assume you possess a level of computer skills. So... Let me start by saying that, no, trading 10k versus 100k is not the same. Scaling up is always painful. Reason being, what if the day you increase 10x, you have bad day. All the profits you made...

Lucrum, you took the bait buddy. Cooolweb is one of the top five posters on this site who live in their own make believe fantasy world. He likes the abuse. Remember that overweight obnoxious kid in 5th grade who lied all the time? You're posting with him... Cooolweb, do you remember...

On its own, annual rate of return from a simulated performance report means nothing. If you do not understand why this is so, do a search on this forum on how to read a backtest report.

Why not just buy something well engineered, get it machined professionally? While I applaud your efforts, that fan looks a bit hokey... The thing is going to be spinning really fast, right? Aerospace engineers have put in a ton of effort into fan effiecieny over the years. The curvature/shape...

Ok, from the distribution of trades and the win rate, it appears as if you have a non-normal distribution with few outliers. Most of your PnL comes from a stable mean. That's good, but, my concern would be how any new exit condition will affect your original exit condition. My guess is you have...

Can you break this down into probabilities and expectancy? I would examine your expectancy for various hold times. So for: - 2500 > t <= 5000 : what is the Avgerage win, average loss, # wins, # losses. - 5000 > t <= 7500 : what is the Avgerage win, average loss, # wins, # losses...

I disagree. Serial correlation exists in many markets. For example, many (if not all) succesful volatility based edges rely on mean reverting volatility. Although not necessarily practical, GARCH is a great example from which to understand volatility dynamics and how academics and traders...

Good Job. You need to switch brokers ASAP. Keep TradeStation as your signal source and route orders to IB. 23% of your profit so far has gone to commissions... TS charges 0.01, right? So you paid 1600 in commission and you could have saved 800 by trading at IB at 0.005. Even if you...

Thanks, Really appreciate the response, I know how much work it is to keep up with all the demands. All I want to do is import a CSV using either the TradeStation format or the Multicharts format (well, any format that works really). I can make the CSV files with any values. Just let me...

Rock & Clearing, Thanks for the feedback. I've tried the other formats and none of them work... looking at the TikConverter code, it does appear straightforward, but, I don't want to recompile the entire project to get something as simple as this working... I am defintely not a skilled...

Hello, Has anyone had sucess with importing basic CSV data: Date, TIME, O,H,L,C,V data into TradeLink? The software seems like a nice tool, but, I cannot seem to accomplish something as simple as importing basic CSV data, the tick converter tool fails everytime no matter the format I...