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Apparently I (and others) have succeeded where you have failed. This is not to say you haven't succeeded in other areas, but why should we simply hand you the fruits of our efforts? It's much more fun (and beneficial to us) to just kick back and watch you twist... M

Somehow, I feel dumber after having read this discussion. M

Didn't you get into a bit of hot water recently for asking questions and simulating discussion on a message board? M

The answer is no. Without getting too deep into it, it's because the expected value of a linear combination of random variables where the coefficients are a partition of unity (i.e. bet variation applied to a trading system) is equal to the expected value of the unaltered sum of the random...

Just one... Your post is way off-topic. M

It most certainly is true, but I am not willing to go any deeper into the topic, either. :) M

Of course we're arguing semantics! The recent discussion is whether B-S fits the definition of a trading system or falls short, and is therefore a tool by default. Put simply, there is nothing inherent to B-S that says "buy" or "sell". It spits out a number that can be interpreted to...

That's like saying that a friend has a piece of software that flashes buy and sell whenever price crosses a moving average, therefore the concept of averaging is a trading system. To take it even further, you are saying that a trading system that buys on a higher daily close and sells on a...

That's quite an improvement from your first post, where you had a 4% drawdown. M

Hope not, because you couldn't be more wrong. Your Avg Annual Return/Max DD ratio is about 16. Mine is about 30... trading only one market... in real life... M

You don't seem to be facing the realities of trading OPM. YOU ARE AN UNPROVEN QUANTITY. Backtesting doesn't mean diddly to anyone except the person who did the backtesting. Why, you ask? Well, because I can make you an equity curve as good as you want and I can make up any story to go along...

Instead of trading 160 stocks requiring 200k for round lots, why not trade 25 markets with your 30k? So, your drawdown goes from 4% to 8%. Big deal. Oh, and there are plenty of brokers who charge 0.01 per share under 500 shares with no minimum so you can trade 1-lots if you want without...

Give me one reason why they should...

You didn't.

Um, I did.

If two algorithms generate the same output when given the same input, how else could one distinguish them? Perhaps you could improve upon the definition? M

I did not define "equivalent". I defined "equivalent over a specified period of time". We can take "equivalent" to mean "equivalent for all time". If the total period of time that a trading system might operate is finite (as mentioned above), then my premises and conclusion are valid and...

Maybe try thinking about it this way: First, define what it means for two systems to be equivalent: Two systems are said to be equivalent over a specified period of time if they generate exactly the same signals over that period of time. (An example of two equivalent systems would be (a) to...

I prefer to do my trading in the markets, thank you. jj

Within the framework of your analogy, not only do I play poker but I am a professional poker player. No professional poker player would be caught dead playing in a penny ante game while a WPT tournament was underway in the next room. Would be like an NFL player skipping the Superbowl to play...