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I suggest you mention this to Benoit Mandelbrot and Nassim Taleb.

Any success?

A similar concept is available for sale, today, to the retail trader. (Vendor 1) uses genetic algorithms to write and optimize trading systems. "Finally! An algorithm that writes algorithms." (Vendor 2) generates millions and billions of trading systems by making random combinations of...

"Valid underlying logic" ? What oracle in the sky decides whether underlying logic is valid or invalid? Is valid underlying logic like pornography, impossible to define precisely, but "I know it when I see it"?

Manual solution: first find the compound annual growth rates of the four investment vehicles. They are 6.00%, 6.771%, 5.672%, and 7.416% respectively. Clearly vehicle 3 is substandard and should never be purchased. The payouts occur at the end of year 5 ("EY5"), the end of year 6 ("EY6")...

my reply is in ChitChat

1) Clearly it's a constrained optimization problem. There are inequality constraints (such as, the amount invested in any particular vehicle for any particular year must be >= zero) and equality constraints (such as, the sum of the weights must equal one). The different payout schedules in...

There are organizations for widows, run by other widows, exactly aimed at this problem. One of the best in my area is "Resourceful Women" (get it? Resource-FULL Women? Women with lots of resources?). Their website is http://www.resourcefulwomen.org/ Typical Resourceful Women story: The...

Sure, the retail solution would be to purchase fasttrack software (link) which specializes in ETFs and mutual funds. Put in your trading system idea and a few dozen variations, run some backtests, try out some different portfolios, and (imitating Emeril Lagasse or John Madden) BOOM! you've got...

How do you know she will follow ANY "system", even one that only requires 20 minutes per year like "Dogs Of The Dow"? In my experience, people lose interest and lose motivation and quit doing their part. They quit following the system. Many of them quit opening the envelopes containing their...

I suggest that there are a hell of a lot more people interested in Gasoline futures ("RBOB") than in Orange Juice or Pork Bellies. Have a look at the daily volume numbers for these commodities and make up your own mind. If you agree then perhaps you can ask Bob Hunt to eliminate Orange Juice...

One component of an analysis might be a historical backtest, comparing the system WITH the on/off switch, against the system WITHOUT the switch. You could plot the two equity curves on the same graph and watch as they move together or move apart

Two digit number "AB" = 10A + B Add together the digits = A + B Subtract from original: (10A + B) - (A + B) = 9A This number is a multiple of 9. The symbols for (1x9), (2x9), (3x9), (4x9), (5x9), (6x9), (7x9), (8x9), and (9x9) are the same, see image below. They are guaranteed to be...

http://www.elitetrader.com/vb/showthread.php?s=&threadid=80672&highlight=Frost%2A http://www.elitetrader.com/vb/showthread.php?s=&threadid=97030&highlight=Frost%2A http://www.elitetrader.com/vb/showthread.php?s=&threadid=100591&highlight=Frost%2A...

A huge majority of the pyramiding systems I've backtested, produce worse results when pyramiding is enabled and better results when pyramiding is turned off. By "huge majority" I mean, more than 95%.

The contest organizers may want to allow bystanders to invest in one or more of the EAs. EA authors ("contestants") put up $10K of their own money, as before. Passive investors could wager any amount from $5K to $50K, and divide it up among the contestants however they wish, before the contest...

I suggest you make a list of your 200 most recent real-life, real-money trades, and determine the actual real-money slippage you experienced on each of them. Then I suggest you calculate the mean and standard deviation of this slippage dataset. For backtesting, I suggest you use (mean...

Our OP may want to wander down to a public library and have a look at the Value Line Options Survey (link). Its introductory report discusses reasonable expectations for profit when trading options. As I recall, for those willing to assume the risk of selling (writing) options, VL says to...

Perhaps TANSTAAFL explains this. Perhaps shrewd and savvy traders noticed the weekend risk premium quite some time ago. Perhaps they position themselves to profit from the weekend risk premium, buying the at the close on Friday and exiting at the open on Monday. Perhaps a large number of them...

There's a huge body of research on "volatility of returns", because (among other reasons) lots of people think that "volatility of returns" is a good approximate measure of "risk". So there are lots of different ways to measure "volatility of returns" and they give different answers. See for...