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Hope not...I'm long today.

The formula can be found on p. 136 of Portfolio Management Formulas by Ralph Vince. Here's a spreadsheet with the formula plugged in and your numbers so you can change it and see how risk of ruin changes with whatever change you want to make. Only two assumptions are that you don't have a...

With such a strong edge the only thing you need to worry about is risk of ruin by betting too large. With the numbers given a 1% risk of ruin would limit bet size to 10% of equity.

I'm sorry, you lost me. What are the two variables that would be used to determine the correllation coeff?

Ok here's the chart from 11/20. The white line is the regression for the whole day. That would indicate the day wasn't very trendy. However if you split the day into 2 halves and do separate regressions you'd see the yellow lines. Then you'd get two separate slopes for each line. Then add the...

Here's another example using today. The slope = (1034.50 - 1034.03) / 27 = .0174. So you could say today was about 1/15 as trendy as 11/19. If you wanted to measure the trendiness for each 1/2 hour you'd use a regression line for each period and average the slope number for the day.

Here's a example from 11/19. The regression line is in Yellow. Using 15 min. periods to fix the number of data point on the run and using the slope = rise/run formula you get slope = 1042.45 - 1035.32/27 = .2640 for the day. This could then be used to compare with other days.

You could take the data in whatever bar length you use for a day and compute a linear least squares regression line. Then use the absolute slope of the line as the value for the day. The more it trended, the higher the value. This would give you a rough approximation. To get a more accurate...

Walk forward testing is just out-of-sample data tested sequentially. It's used to see drawdowns month by month going forward. Nowadays most developers use Monte Carlo testing to determine pessimistic drawdown estimates. Here's a link for some info. on the whole out-of-sample testing process...

I use two measures to track my trading. To see how effectively I'm trading, I compare my total pts per-contract vs daily range. If the total daily ranges for a week were 80 pts and I made 30 then my performance would be 30/80 = 37.5% for that week. To see how well I'm using MMGT I...

Sorry you're offended. I had a sell order in the middle of the mess and got hit with 2 pts. of slippage between when I hit send and got a fill (about 3 sec.). I needed to vent..........

IB in this context = Investment Bank ..... not Interactive Brokers Can't comment on Interactive Brokers since I don't know anything about them.

Thanks....my ES chart looked like a pinball machine. Amazing that any single stock has that much influence on the indexes. I'm glad they didn't disappoint!!

No... daytrades only. So far only 7 trades. Nothing for today. Good luck to you too........

Must be another idiot hitting the send button on some huge orders.

Here's a example of a volatility breakout system. Please don't expect me to post my model. http://www.suntrade.it/Systems/VTYB_Volatility_Breakout_System.htm

Just part of the picture to establish a pattern of success. Since most candidates are around 25 and haven't worked in business, we had to have some way to look for the best of the best. In a typical year we'd get 1000+ applications for 10 openings. I PM'd you with the details if you want to...

I went long around 10:45 on that drop and bailed around 13:00 ET. I don't use trendlines so I had no idea about it being broken. I'd like to get another long signal to ride to near the close. Are you the Walter I was trying to arrange a meeting with about a year ago?

I was at a IB for years. Our ideal candidate was a 1st year MBA student with a emphasis on Finance and a 1250+ SAT score. Exceptions were made on the major, but we always had to see evidence of success within a competitive framework. If they looked good, they'd get a summer internship. If they...

Hope you're long Walter. There's a 97% chance we won't see the low broken this afternoon.