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ahhh... I coded the Open Position Run Up and Drawdown wrong and found it... I was generating a execution efficiency / liquidity risk... (In simple terms, it's the max/min price of execution likelihood based on DOM liquidity...) I'll fix the output app. and regenerate the txt, later on...

Heh... no one seems to comment on AFG's equity curve so I'll add... 1. The fact that the equity is log-normal, it doesn't provide the true picture of the actual model due to the compounding and it's vulnerable to a variation of a "selection bias" caused by equity curve compression. (Take a...

Does that mean it's my turn? Anyways... I figured that bwolinksy may ask for the MAE and MFE so I added 2 columns for the OpenDD / OpenRun-up (I usually don't follow the "fill efficiency" but I figured it can help bwolinsky...) for each trade. Format is tab-delimited: Actual PL -...

Is this guy on crack? What's his deal with the Hari Krishna vibe and suddenly becoming Mike's shrink? Can anyone actually read his posts? This guy's writing to himself, making jokes? and replies to his own question. (Do we have a new jack hershey??? :( ) Getting passed his delusional...

Guys... Let's try to clear each other up with what you consider a "parameter"... Do you consider a "parameter" as a numeric variable? control variable? process? etc. etc.? Let's say I have the following: if (metX(varX).ICustomCompare(metY(varY))) { Buy symbolX sizeX shares...

Right Click link >>> Save link as... Take the saved txt and drag it in the xls. Bwolinsky... everyone else seems to be able to upload the file... And there's a few people waiting for you to finish up analyzing and start talking about it. (talon wants me to wait until you finish with...

Solid stuff. I've got nothing to comment but say, thanks for clarifying. Hrrrmmm... What you mentioned reminds me of someone... Do you run a CTA in Chicago (specifically in BOT)? The person I have in mind has a 'S' in their initials and in his AM's name.

Mike, another question... related to tweaks... What's your stance on Mechanical and Automated Trading System? Should all good systems, in your definition, be able to be automated or not? For a system to be automated, the datas need to be quantified in some way for the computer apply. It...

OK. Now that you mention about systems... Which of the following would be considered a "tweak"? 1. Optimization and implementation of a parameter. For this sake, let's say it's like referenced bar for a Breakout like x in calculating HighestHigh(x). 2. Taking the mean bars of the...

Good posts. I've overlooked Cauchy, myself. Got some new research to do...

Mike... What's the title of this thread? If you want to... you can start another thread about cons in the OPM industry. If you want to stick to your depositions... then start one about that specifically. Let's try to stick to the topic... It seems like people are more interested in...

Markets Change. If it works, it's robust. If it doesn't, it's curve-fitting. Simple enough? --- Whether something is robust or not, solely depends on whether the tendency of the market you're exposing has changed or not. That's simple too right? --- So (look at it as a bunch...

Tell you guys what: "Mike Covel and Curtis Faith rules" Oh wait... we're forgetting two more guy... "Mike Covel, Curtis Faith, Russell Sands and AFJ Garner rules" End of story? Seriously... Mike, I bought you and Russell's courses, a long long time ago. It was my first...

As much I hope I understand your post... I'll be a bit stingy... If past history only shows us a tiny sliver of the possible market outcomes... then, what was the basis of your decision to trade your trend following system? If what you mention is taken literally... trend-following can just...

What ssb is saying is the same things as "The fact that markets change(has infinite variance), does not change". So we're talking about 2 different things. He uses the phrase "market variance" as to what we refer to "market change". This is just semantical (again), and there's really no point...

OK... This is beyond my comprehension (and it's getting scary...) It's either, I'm very tired or Mike's on something... Wait... Is this another one of those nit-picking phrases and taking things out of context? I don't get it... So... Can someone else tell me how my series of posts in...

:eek: :eek: :eek: OK... 1. Performance + "inferences"... Great. That's my whole point... it's an "inference". "Inferentially", Amaranth being a Quant Fund in definition, wouldn't have given Brian Hunter the leverage and control over the discretionary position he's taken based the...

LOL

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Your story is a bit fuzzy, considering that I used to live in Chicago... If your Dad's a local at the BOT, it seems natural to me that he's got connections to give you some leads... I'd say about 1/2 the props. in Chicago are opened by former locals so that they can get $$$ using their...