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Ooops... Looks like our posts crossed. Well there ya go... there are results from ONE of my pairs models posted in the post above. Enjoy Bo.

Can the other people in this forum explain why Mr Wolinksy has me on ignore? It seems he is not interested in a dialog. Without getting caught up on credentials, I am a full time trader. My trading activities make a decent return, pay rent on office space in lower Manhattan (within sight of...

Ok... pay careful attention here BoWo... this will get a little complicated but a guy who passed Level 1 of the CFA should be able to get this so stick with it. Yes, we get your ingenious plan... that you don't have to execute both legs of the pair to save commission. Actually, you can't...

I wouldn't recommend anything from him unless you use it as a launching point for your own investigations. Start with the "How Markets Really Work" book... learn some statistics if you don't already have that under your belt... learn to program R or something else like that... and do the work...

Trying to continue the dialog re this system development and the pitfalls in this approach, but the OP seems determined to ignore me. Shame, because I have a bit of experience trading and specifically trading pairs. Let me go one small step further than last night. I made the claim that the...

I'm thinking you may be too caught up in significance tests in general. Both testing structures you outlined re the KS test are reasonable and we do both.... but I am far more interested in the shape and character of the returns than an actual p value. This is why I said there's some art to...

1. Yes 2. I just guessed. I know a wide range of parameters would work so I just made these up. 3. Trading in ranges can certainly be profitable, but the risk you run is that when it breaks out it may really go... so you just have to be quick to take your losses. I wouldn't look too much...

Ok... PCLN... err... no. That's been a nasty loss for the system, but not outside of expectations for this system. It tends to be a bit wild -- we have returns over 150% for some of the trades and losses approaching 50% sometimes. Look at PCLN through the earnings drift lens though.... it's...

I think the OP has me on ignore... oh well... basically his loss. And he'll continue to use Excel even though his stats are wrong. We shouldn't quibble over 3rd decimal places, but the well known statistical issues with Excel can sometimes cause real issues. Here are the correct stats...

Oops... I couldn't attach two files to that post. Here are the returns from that intraday system. This system rarely holds overnight, is mostly in the AM and out in the PM... BoWo, please compare this to your Pairs System and let me know what you think.

Ok I may have done a bad thing here lol... I was reading BoWo's thread on Pairs Trading and saw a post where he made serious errors in analysis... I am reposting something I posted to his thread here because I think it includes valuable lessons about how to analyze a backtest: Sorry for the...

Wow.... I didn't realize he had posted his complete trade set already. FYI I am going to cross post this in my thread because I hope to give some valuable information on how we look at distribution of system returns... and I know the little turd deletes my posts from his thread so I can't count...

Thank you... one thing that kind of surprised me was the number of posts I received from people saying they are trading strategies like the ones I have "revealed" here. These are sound approaches... but not the holy grail. They'll at least get you pointed in the right direction. What you're...

No... you compare the shape of the distributions from the market's returns and the system's returns. There are a number of good books on non-parametric statistics... even someone with no background can be pretty comfortable with these techniques after a few month's hard study.

Ok I'm going to try to address these questions in order in separate posts. That way I am sure I will get to everything. Yes we do have some automated stuff... but most of it is a blend of automated and discretionary. The sad fact is, purely automated trading doesn't work as well as people...

BoWo, Please post in excel format the complete trade list from your system backtest. The only stat needed is the percent profit or loss from each individual trade. There are some errors in your understanding of basic statistics. If you will supply this information I requested, I will see...

:) LOL. Thank you for your kind words. I hope this helps someone. It was hard to decide how to do this because it doesn't make sense to give half baked ideas handicapped in some weird way so they won't really work. On the other hand I don't see posting the exact systems I trade with the...

Good question - this refers to each individual stock. You could buy and have a buy signal 2 days later when you're still in the first trade. You would not take the second signal, but if you're trading 100 stocks you theoretically could have 100 positions on at the same time.

Thank you for doing this backtest and presenting this equity curve. Having not tested these exact parameters on your data set, I cannot exactly confirm your results, but I can say it looks "about right". One feature of equity curves from all of these types of systems (buying/shorting pullbacks...

Yes, I agree with this... except a depressed trader usually cannot trade... there is something about performing at the very top level that requires a person to be well as a whole being.