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Can you elaborate a bit on how/what you use it for (in general terms if you don't want to be specific). Have been looking at volality analysis, but can't say I've found it very usefull. So I guess I've been looking in the wrong places.

perhaps liquidity? and higher leverage possible ofcourse.

think about it. what exactly is volatility. how is it defined. how is it used. do you want past volatility, future volatility. what do you need it for.

The real question is ... can you make 11000% or turn 25k into 1 mln. Or are you better of on the road to mediocrity?

the difference between the red line and the green line is the non-randomness in markets... (forget the blue line)

Only thing you need is patience. 30% over 30 years on 15k is still a nice amount of money.

3m t-bills 2,87% 75% - 0.15 equals about 2% if you have 500k at IB you'll get about 4%

hi, I do a bit of both. I trade futures on a long term scale (3months and up) and local equities an a short term scale (15mins - 2 days). last year was very good for long term portfolio, this year was very good for short term plays. I started out doing only the short term stuff, but I...

How about... you try it yourself and see if it works. Develop a system using 1990-2000 data, out-of-sample test it for 2001-2007. If you want to get really thorough walk-forward test it. Use 1990-2000 to make a 2001 model, use 1991-2001 to make a 2002 model etc.etc.. You'll see how good...

Way to many rules and parameters. With so many degrees of freedom you should be able to make something that is 99% profitable :D Keep it simple, make sure it works if many types of markets (different overseas markets, different timesframes) and is robust to changes in variables...

btw, a picture of equities only versus diversified approach... look at the simularity of the previous picuture

Exactly, always aim high ;) I'll report back to you in ten years time to see whether I've matched them...

Sure, but then again nobody invests 100% in US equities. The comparison is quite different if you include (high yield) bonds, emerging markets, commodities, real estate and foreign equities. And nobody invests in the CSFB index as well (unless you have access to all funds that are closed and...

It's more profitable for me to trade with more leverage. Got the same downside but the full 100% upside and not just some %. Even more so, since I read over the escrow part.

so print it before you die

spurious correlation...

every day over a couple billion dollars worth of wheat are traded and you figure it'll take you days to get out of your position? wow, wish i had your problem.

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I prefer trades where the target return is larger than the stop loss. Otherwise you have to be right more than 50% of the time to break even. In terms of my own equity trading, which is probably a bit atypical in the sense that I rarely use more than 50% of the cash available and trade only...