Search results

I'm afraid you've entirely missed the point if this is how you feel. Maybe someone will be kind enough to generate some buy/sell signals based on some pretty red and green arrows, perhaps? :eek: What a rather crude and unbased generalization. Would you be kind enough as to inform us as to...

Also read a very interesting study of stops and exits by Dr. Koch. Many of the conclusions drawn are worth exploring. One of the results of his findings that pertain to the above post: "Assymetric stops don't change expectancy asymetric stop loss/profit target: Changes Win/Loss and...

From wikipedia: "The average absolute deviation from the mean is less than or equal to the standard deviation. One way of proving that relies on Jensen's inequality." Their example cites the series: 2,2,3,4,14. The mean absolute deviation ends up being 3.6 using mean as measure of central...

Kind of an old subject but I thought I'd touch up on it. We've often heard the idea that a system can be profitable even though its number of winners is relatively less frequent than the number of losers. Common sense would dictate that in these situations, risk-management stops help keep...

Thanks for sharing that bit, Captain. Sometimes we can get so consumed in what we're doing or the final goal that we forget much of it is about the journey.

No. To answer your question, I was using returns on a system that generates daily signals. Daily returns would imply that I took the average return and divide it by # of days held, which is an efficiency measure, which is not what I am referring to in the observation. If I were to group...

Deglazenbol and MGJ, thanks for the pointers. I will definitely have a look at these. I've found a nice white-paper on Pareto-Levy distribution for those who want to dig deeper: http://www.gloriamundi.org/picsresources/hfcbarhm.pdf

Thanks for the input, Steve. I've discussed a similar strategy to what you are implying with a fellow regarding out of the money options; the inevitable fat-tail occurence makes what seems like a lost cause profitable at times. As far as what I will do differently with my own trading, these...

Welcome back, $Cost. Nice kills.

In running Monte-Carlo simulations, I've noticed that <a href="http://en.wikipedia.org/wiki/Fat_tail">fat-tails</a> often occur, on 10,000 trade scramble runs, I've noticed several 7 sigma events are within the realm of possibility, though statistically, under a normal distribution, these would...

I think at the relative institutional level he's used to playing, 30MM is peanuts. To compare, It's like blowing out a 500k account and then starting over with only 3k. Overhead would kill you. Would you even bother?

Thanks, bl82. As someone relatively green at this, this is the path I've chosen after doing much of my own floundering about and experimenting with various styles from fundamental to technical, discretionary to mechanical. It seems much more consistent, logical, and scalable, and it suits my...

EDIT: Instead of trying to test on a generic 'x years/months/days', I would suggest testing on conditions and environments. Obviously the length of time for these conditions must be meaningful; generally a minimum of 1 year is what I like, but it can vary depending on your intended timeframe...

http://elitetrader.com/vb/showthread.php?s=&threadid=74757 :eek:

This thread is classic. :D :eek:

I'm afraid those who think Edge is discipline or any type of psychology, including being "honest" with yourself, risk or money management, keeping a journal, advertising your own thread or website or even a result of merely being profitable in a certain type of market condition have missed the...

Tongue in cheek or not, I've found Acrary's threads most helpful in my own progress. While at first I did not completely appreciate or understand the concepts he wrote about, like many are demonstrating in their posts here, over time and experience and necessity these concepts have been made...

Thus emphasizing the necessity of proper edge testing over time. Once your edge starts to degrade, it is time to move on to a new one. This is the same for any type of system - even an edgeless trend following system will make money in a trending market - think the late 90's bull market - but...

Add-in: Notice how u can still have positive expectacy - ie make money, even though you may not have an edge, if market conditions prove favorable. This is why it is important to perform proper 'edge-tests' to confirm that one does have an edge (proving statistical significance of edge vs...

Also simplified as: (Average win size * %tage wins) - (Average loss size * %tage loss) Money management and risk management have to do with avg win and avg loss size, whereas %tage wins and %tage loss have to do with Edge and market conditions. Note that positive expectancy is NOT an...