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I have come into this term which should mean an absolute dollar return from a trade that you will accept before activating the profit target. I m not sure I understood this right. Can anyone please correct me here - If I am wrong. Thanks!

looks like you have tried a lot of mokeys...

Hi! I wonder if anyone knows the tools hedge funds use to create automated trading strategies based on technical analysis (TradeStation???) and how complex these strategies are. Thanks!! Dima

what is the diffrence between alg and ta?

yep crystall ball is awesome...especially if you get the professional version with OPTQUEST optimizer...the palisade risk is a quicker solution to generate tons of distribution data...but these all work only in excel....

yep...i am thinking to get a preliminary solution using genetic algorithm and then use risk software to perform Monte-Carlo simulation of the input values around the best chosen by the genetic algorithm to see if they hold the performance of the best solution - do you think that is a way to do...

sound like a reasonable way to do this...do you think the scale of all submeasurements should be uniform - e.g. only discrete numbers from 1 to 100 or only continuous from 0 to 1? thanks!!!

Hi! I need a single formula which can effectively measure the overall performance of a trading system. Given a ton of varied statistics available in such packages as TradeStation I am left to create my own benchmark. I know one measure which is [(Net Return - Risk Free Return)/Sharpe Ratio of...

Hi! I understand that a system is robust if input values form flat areas on the 3-D chart where the third axis is the Profit or Drawdown. I attached the example of this chart. But what to do with multi-input models. Say, I have a system with 5 inputs - so there will be 10 charts with different...

Max, thanks..but i see no button like that..here is an example page I am looking on: http://finance.google.com/finance/historical?q=INDEXDJX:.DJI Please give me the link wher you see this button... thanks!!! Dima

thanks Max...but it seems the prices cannot be downloaded all at once in excel format...(((( or is there a way to do this? thanks!

Can you please recommend and free good EOD price data source? Thanks!!!

btw...have you heard anything about Evolver, genetic optimizer?

i hope you will preserve your mental abilities...)

just to demonstrate superior charting capabilities of excel when it comes to painting different conditions in the price action -I attached this image... let me know what you think

one question - you think that 15% annually on a consistent basis is a worthwhile goal for strategy development?

thank you for your detailed reply....i will now read the Markowitz's book on portfolio theory...thanks for those links....i am starting to fell that i am going to need to create this model from scratch..

thank you for your answer...can you recommend any book on this topic? I assume the classic portfolio theory books do not cover this topic...correct me if i am wrong... thanks!

thank you very much for the detailed answer...looks like a trick from the quants' world..))

thank you for your reply..i am thinking to rank the stocks mainly based on how the system operates on them....if they perform well paper trading with the current system they are taken into the portfolio...when the reverse happens and they start to perform badly they are "cast down" to the paper...