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I wouldn't trade friend's money with the strategy you are using either. I must say I'm kind of relieved you're not thinking about it. However generally I think that when your client/friend and more importantly yourself fully understand the risks of the strategy trading their money isn't a...

Here we monitor the returns constantly on several timeframes and we stop the strategy when the returns fall outside the statistical bounds (both better or worse). It happens very rarely however. Ninna

It is a feminine name indeed. And it is popular in east Europe/some parts of west Europe. As for Japan I don't know. :) Ninna

Well, maybe they don't deserve it. :) I don't believe that concepts in themselves contain secrets, thus I allow myself to talk about them. However you'll never see me talk about implementing the concepts. Ninna

I also think he doesn't understand the maths. Here's the paradox 1a2b3cppp: You can keep your $1M in cash and take a chunk out every year. You can take $50k every year for 20 years. This will get you more money out of your $1M than the martingale strategy... I don't think that you...

Actually it isn't exactly the same thing as the coin flips are not normally distributed. For the coke bottles you bet on the next bottle's content relative to the previous one. You can compute the exact expectancy relative to the content of the previous bottle and then develop your money...

This strategy works well when there's a (relatively) strong bias in the underlying. Else you're breaking even minus commissions. But since most assets tend to trend more than normal it works when the volatiliy is high. If you can keep trading costs under control and can diversify on a lot...

You need to understand what are the characteristics of the underlying that make your strategy work. Then you can look for the same characteristics in other assets in order to diversify but more importantly you can monitor the presence of the characteristics in the current asset and take...

Actually you change the relative magnitude because your normailzation factor isn't constant. That way you can remove the fat tails. Imagine you're at a coca-cola factory and you see all bottles coming out. You know that the content of each bottle is normally distributed with a mean 33 cl and...

Yes. Ninna

He meant add to your position when it goes with you instead of against you. Anyway just like martingale it doesn't turn negative expectancy into positive one. Ninna

This is an illusion. Diversified negative expectancy doesn't give positive expectancy (except in some rare and strange cases but not here). It just makes it harder for you to realize it and gives you a false sense of confort. Ninna

As long as you assume 50/50 minus trading cost your expectancy is negative. No amount of money management (i.e. martingale) will change that. Therefore mathematically to last in the long run you need an infinite account. With a fixed size account the best you can do is choose your desired...

You are right, detrending is a good start but is not sufficient. If you're interested the next step would be to look at how volatility relates to price. Ninna

RSI surely works better in range markets. What I meant however is that RSI performs better on a gaussian process than on market prices. The challenge isn't on optimizing RSI for specific market conditions but on normalizing market prices. Ninna

You're not going to find that in any book. Beside, there is no consensus of opinion in the professional world. If there was we wouldn't see 90%+ of the profesionals fail miserably. The greeks like so many things in trading are a measure of what is happening. And indicator if you whish...

Sure, I meant the (non-)stationarity of the return distribution. http://en.wikipedia.org/wiki/Stationary_process Ninna

To make it simple, if your residency is in Russia you'll pay taxes in Russia. If you have an american passport it's a special case as even if you live abroad you still have to pay a small tax to the USA. Ninna

Amateurs should aim for market return. 2y is not long term. Ninna

No that's not what I mean. I don't agree with you, derivatives of price can be stationary (and very close to gaussian). That's what I trade. Ninna