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So to summarize a little, the idea of the random condition was more to try and isolate other possible non-random criteria (time for example), as opposed to trying to divine some magical property of the randomness. Is it possible to expand on what you mean by a 'non-random distribution'? I'm...

Ok, back to basics, here is the original coin toss system, no commission, no spread on SPY. I have run it though each hour using 50 runs on each hour to produce the average. Hour [9] Avg Profit [130.12] Std Dev Profit [6018.92] Hour [10] Avg Profit [-1102.72] Std Dev Profit [4668.75] Hour...

I've been thinking about some of the bits floating around on this thread and others, I'm not quite sure how it all fits together but perhaps other people can fill in the blanks. The original random system Mike posed it seems was just to show how non-random looking returns could be generated from...

One could also cast it in the 'secretary' style, given that my hourly P/L is random, what is the best place to stop? (close the trade).

What made me think of Monty Hall was the property of swapping with prior knowledge, as is pointed out, this does involve changing your original decision. I'm not an Ambibroker expert, does the original code consider the existing position when making a decision to trade? (BTW, in found the...

Ok, I think I get it now, this system is a reformulation of the Mike posed in the 'Developing a system on random data' thread, the random part of the system is the normal variable in the exercise. I'm guessing this is some variation on the 'Monty Hall' problem. Am I heading in the right direction?

If you compare the actual trades, they are inverse, it's just commission that is skewing it. (maybe some of the slip/com assumptions are a little heavy handed).

...or maybe it doesn't help, here is condition2 with no random with the extra clause that VIX > 25. I can't rule out a f**k up in my coding.

Now we add in the random...doing this simply seems to 'randomize' the outcomes, though I can only post one run generally they range from about break even to better than the last one. So I'm not sure the random part does anything apart from being random. One does notice that most of the profit...

Next we reverse the condition.

Here are some of the equity curves from my testing on the SPY. This is the first condition, as expected, not very good.

Do you mean normally distributed P/L outcomes?

Once again, just to clarify, the idea here is that the outcomes of some of the proposed problems that people are modeling here have certain a distribution, using this information there is a way of improving the given system. Is my understanding correct?

Thank you for that masterjaz_99, is the result of case 1 supposed to be "$1.446" or is the decimal point in the wrong place?

Case 4: Buy = Cover = TimeNum()==125400 AND C1 > C2; Sell = Short = TimeNum()==125400 AND C1 < C2; So it can be seen that case 4 is case 2 without the random condition . So it would seem we are waiting on the results of case 3 with the random condition removed. (Sorry if I'm repeating...

Ok, I've gathered everything together for easy reading... Case 1: Buy = Cover = TimeNum()==125400 AND rand < 0.50; Sell = Short = TimeNum()==125400 AND rand >= 0.51; Case 2: Buy = Cover = TimeNum()==125400 AND rand < 0.50 AND C1 > C2; Sell = Short = TimeNum()==125400 AND rand >= 0.51...

It would be good to somehow tabulate the results, as it's a little hard to keep flipping back and forth between all the bitching. I will go back though keeping the previous post in mind.

The average holding time in the original report is about the same as the report with the random condition removed so I'm not sure it's that...so in summary: 1. Random condition + entry time = good 2. Random condition + entry time + prev day condition = bad 3. Random condition + entry time +...

So, if you take out the random bit it gets worse?? (sorry if I'm missing something here).

Without knowing the various stats for the runs, it's hard to infer anything concrete, but on the evidence presented it seems something is going on, it would be interesting to know what happens when the random component is removed. Usually when one flips the rules, all one gets is more...