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Altman's Z-score?

This applies to U.S. stocks. Japanese stocks yield zero % for the last 20 years. Beside return and max DD, another figure is important - the length of the flat period. Acceptable Max DD? Depends on how much are you willing to risk. It's subjective. What's better: - earn 25% p.a. with 40%...

Their food is unhealthy!

Yeah, if someone has intraday charts of Nasdaq stocks or futures from 1999/2000 please post them here! Good old days... will not return... :(

That's true. "In the long run we are all dead" - JM Keynes

It may look good on paper. In real trading two things are crucial in such strategies, IMO: 1) Correlation changes over time 2) Commission & slippage costs x2 higher vs directional trading (can be a problem mainly in intraday pairs trading) Does pairs trading have any advantages (in terms...

Ups I think it's another misunderstanding. You should say "there is no maybe in pairs trading". This is arbitrage, where profits are more related to statistics. Directional trading is less related. Correct me if I'm wrong - I've never made any pairs-trading.

I've missed the key word "could" in your statement, sorry man :D

True. This also applies to success in life. One of the reasons is that things you learn in schools, university have little to do with the real world. Another reason is: everything changes, so you have to learn & adapt during all your life.

"profits come from statictics" - and luck. "if you had none, it can be only luck" - not true, you can trade without backtested system and your profits won't be connected with luck only.

That's a very good point.

Yes. The Simpsons http://thesimpsons.com

Just let the broker trade for you. Trading automation.

Let's assume u have 1.8 euro per side commission for eurex futures. That will be: (24+93) * 1.8 = 210.6 euros P/L from trades: dax -13*25 = -325 euros estxx +20*10 = +200 euros Result: 200 - 325 - 210 = -335 euros Conclusion: you over-trade!

75 round trips today? this is trade4bankruptcy... commission and slippage costs will kill you. -13 ticks and how much commissions you've paid?

10 Jan 2002 Dec non-farm payrolls -101K ; +20K expected. Prior -88K revised from -40K. After moderate down move at the open - big rally... I just want to say it is strange for me.

Great essay http://www.fortunecity.com/meltingpot/belgium/1029/creation.html

I agree with you George. They should include european futures plus intraday historical data, not 20 years like american, but 3 would be very good. Is it really true? Can I backtest 20 years of historical intraday data on major american futures using TS7?

I agree. Great post, iceman.

You're right. Better answer would be: I'm an artist. I paint charts competing with other artists to express (and profit from) the nature of life, human emotions and "harmonic spontaneous orgasm". Opposite to hedge fund's quants we are really romantic! :)