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Thanks for clearing things up. This is bad news. Sad, but seems they didn't even bother to archive anything. I understand that probably 95% of the stuff was garbage, but still there are some 5% of gems.

Where are the old threads? Did they get deleted? I noticed there is old material missing. For example, there were at least 7 threads by acrary. Now there's only 4 left. As far as I remember some of the stuff missing was "getting a clue for the next day" and "testing variables". If they're on...

Then a simple question about trading tactics rises: if you are so sure (certain) that the trade will go up, why not wait and enter the trade at more advantageous lower risk point? And even then, why risk 10-30%? Instead you could risk small amounts like 1-2% a few times until you catch that move...

Yes, this thread was originally started to discuss Alan's ideas. With this in mind, when people are talking about correlation, it's correlation among results of strategies, that enter long and short trades at different times, implement stop losses and other trade management techniques. Which is...

I can't understand why diversification across uncorrelated strategies should not work. Suppose you have a rigged coin. 60% chance of heads and 40% chance of tails. Let's define "heads" as profit, and "tails" as loss. So by tossing this coin sooner or later you will be in profit (more heads...

I suppose we're looking for the stresscorrelation to be as negative as possible? Coming up with structurally uncorrelated strategies is not that hard. If you have strategy A, then the strategy B should enter where strategy A is failing. Something like that. My biggest headache is how to make...

Hi, I code all the stuff myself (using Java). I also use Excel for simpler tasks like viewing data, diagrams and for transforming data for input to my programs. That's all. Alan said a few times that he codes all his software by himself too, and uses TradeStation for real-time tracking...

This is how it looks like when two uncorrelated systems are combined. In this case simply added, no Sharpe optimization was done. Alan said the systems should be structurally uncorrelated, which means they are not simply independent but are so structurally different that them being in a...

I don't need anyone's code, I write all of it by myself :p It was September or October of 2007 when I first started to seriously work on the ideas. I had built data mining framework from scratch. The idea was to find statistically significant sets of identifiers that filter out the days on...

What do you mean by AIS? Artificial immune system?

This got me into constant thinking. Alan made a clear distinction between strategy with edge and strategy fit to market character. What does the above quote imply? Is it that he abandoned edge-based strategies, and replaced them with simple, market character based strategies, scattered...

Trade it. Or you can print the code, frame it and hang it on the wall, but that would be a pointless waste of time.

I think the complex strategies are for arbitrage trading, since they may be based on complex inter-market relationships and similar stuff. Directional speculative systems should not be complex, for they are just functions mapping long/short/flat positions to the price data. Let's assume we...

So why not volatility-normalize your results? Make your stops tied to volatility, instead of fixed values. For example, 50% of ATR(20). Then you would risk a fixed amount per stop, for example, 0.5% of the capital, no matter what 50% of ATR(20) value is. If you want more sensitivity to the...

This is so familiar :)

Moving stop to breakeven reduces your % of winning trades but decreases trade risk. So it has both sides.

If you think deeper, you will start seeing scams everywhere. For example, your typical 9-5 job is one of the biggest scams in the world. 80%-90% of what you earn goes to the army of managers, those who rent office space, owners, social security and taxes to support the system that scams you...

You cannot predict them. But you can do two things about that: 1) take all days you consider as being "large range" and look for common properties they have. This could be something as simple as making low of the day in the first x minutes. These facts will enable you to construct a trading...

Yes, he's fucking kidding you :D

So according to you it would be fair to con children, defraud old people and sell placebo that supposedly cures cancer. Why work? Let's just con each other :D