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Just my opinion, perhaps your overall PF is high enough such that you do make profits in good times, but due to your PL variance, you dip down into losses some years. This could mean two things: (1) if you can raise your PF by 1 or 2 standard deviations of the PL then the chances of a losing...

I think on average it's 50% luck, 50% effort. If you are born in a lower income household, your average income will be lower -- but the spread in that income is the result of free will and effort but also random chance. If your parents are college educated, your average education level...

Looks really good. Is the above from back testing or forward testing? When you say forward testing, are you running live on a simulated or small real account? If so, can you show the stats on both the back and forward test? Are they similar? They should be similar but they cannot be...

I think happiness is divided as you say into the present self, and the remembering self. The present self is "happy" when it is feeling no pain, no anxiety, is calm and peaceful, feels free and unencumbered but safe and secure, and is mildly but not overly stimulated. In other words, it is...

I think it's possible to achieve both. Life is all about balance. But balance does not mean complacency either.

One of my algorithms that I am forward and back testing has produced consistent losses before August, and consistent profits after August of last year. The other ones that I have built show consistent profits before August, and smaller profits after August. I share your belief that all of a...

I am pretty sure it's possible now. Previously I said I don't believe in finding the holy grail. At that time I had found algorithms that worked only within certain regimes (e.g., high volatility). However, in the last few months, I have actually found a few algorithms that seem consistent for...

One thing that is absolutely necessary -- run a forward test (could be simulated or on a small account), and check for a few months while still running your back tests. If your forward tests agree with your back test (to within a narrow percentage), then you should have more confidence. A huge...

You traded $ 34MM in a week? how much leverage do you have?

Those smaller scale bubbles not involving the whole economy are still based on exponential growth. Population growth is also exponential until you hit the limits of natural resources (limited food, water, energy). You have a point about the whole economy sometimes not in a bubble while...

I think bubbles refer to the exponential growth of economies. Economies usually exhibit exponential growth behavior because more money leads to faster earnings potential (simple first order ODE with positive feedback), similar to political and social power. However, just as in materials science...

You mention that you found 220 statistically significant patterns. How many have you tested to arrive at those? You do know that the more hypotheses you test, the p-value needs to be revised upward (less significant). The easiest is the bonferroni correction: simply multiply the p-value by n or...

I guess you are saying Prof Andrew Lo must try harder, LOL. I just re-stated what he wrote in his chapters. I agree that it is rather absurd to use autocorrelation as the sole measure to represent the concept of "memory". I believe one needs to carefully identify the cases in which certain...

Chapter 6 proves that there is no long term memory in stock market prices. However, in this same chapter he does point out a significant shorter term autocorrelation that he says is on the order of a month or two. The chapter is concerned with perceived business cycles over the course of years...

There is no interpretation in my post. I have merely cut and paste the title of the article above the URL.

Stock Market Prices Do Not Follow Random Walks : Evidence from a Simple Specification Test http://press.princeton.edu/books/lo/chapt2.pdf

It seems that people have different responses to the OPs question because everyone has a different idea about the amount of uncertainty that separates a prediction from a guess. If a prediction has 90% accuracy, then it is likely not a guess for most. However, to others who are extremely risk...

I implemented the 5 minute centered difference aka zig zag method -- attached as a png. I also used strength to distinguish between different peaks -- the arrows show the sma crossings following a peak, color-coded by different peak categories. This is the kind of thing I was after. Even though...

Regarding the data-to-parameter ratio: I think since financial data contain a large amount of correlation, N data points are not really "worth" N data points -- as you point out, I think it's the independent degrees of freedom or number of principle components that matters. I agree with you that...

I think the original usage of curve-fitting to refer to over-fitting is the following: if you have N data points, then you can come up with a (N-1)th degree polynomial with N-1 coefficients plus a constant to perfectly fit all the data points -- i.e., you can do a curve-fit against all the data...