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the obvious: a fixed take profit point will not take advantage of the rare home runs at the tail end of the potential profit distribution. many strategies depend on those big wins to make up for the numerous small losses. however, in order for a trail to work, it needs to be wide enough (at...

Just curious what people think. It is kind of obvious what the pros and cons are but...

One should not rely completely on a single statistic. It is what it is: a measure of trade-off between mean profit and spread. I personally would just look at the mean and std dev (profit and risk) separately -- e.g., one could plot mean vs std dev to decide on the optimal systems (upper left...

Well, okay, I shouldn't have phrased it as "The Answer", but I meant it in that it does answer the OP's question in the most succinct way -- i.e., how to compare the two systems with the same mean but one with broader variance. It is not an excuse for the small sample size. All statistics must...

I agree with many posters: I think the Sharpe ratio is the answer. It tells you the trade-off between mean profitability versus std dev (risk). This is similar to the t-statistic which is mean / std err, but if you are comparing t-statistics between systems, then one way to think of it is you...

No apologies necessary -- you made me realize how to use those multiple differences: by assigning strengths. That's a very useful idea. Thanks.

Okay if you say so. By the way, there are two important phrases in that sec definition that you might want to re-read. Those are: "investment fraud", and "purported returns".

The point is IF there is no lying involved, it is not a crime to pay older clients with newer client money. If for example, I take payments from customers and then I promise to pay them back a certain amount if a certain event happens (e.g., retirement, or an earthquake), that is perfectly legal...

Okay thanks -- this is precisely what is described in the second paragraph of my original post (N-th ordered centered differences). But assigning a "strength" is a neat idea. I will do that.

This is an interesting idea if I understand it correctly. You would take multiple timescale MAs, then for every pair of consecutive points from the MA look at the difference. If the difference changes direction between two consecutive pairs then it's a peak or trough. Do that for the higher...

Thanks, yes, this is sort of the thing I was looking for. This is pretty much using a windowed min/max detection: place a window (e.g., 15 minutes) around your point of interest, then simply compare it with the min/max of that window. If the point is equal to that max, then you are at a peak, at...

Yes, it's all coming back to me now, FIR filters, impulse responses, z-transforms, group delay, pole-zero plots, ROC... I guess in a sense I am already sort of doing that because a N-minute moving average filter is a simple constant coefficient Nth order FIR filter. I guess the power of the...

By the way this is where discrete math appears deceptively easy until you actually try to implement it. I used to be quite adept at solving differential equations, even partial ones, but I have never really become used to so-called difference equations, i.e., the discrete version of differential...

Of course that is the case for a smooth or continuous function. For a real discrete minute bar time series, that derivative (first order difference) will cross from negative to positive and back very frequently may be even once in a few minutes (it will never or rarely be exactly zero so one...

Thanks, this is operationally exactly the same as what I described as the first order centered difference method. One of those two factors (forward and backward differences) have to be negative, and the other positive to ensure that the point in the middle is above or below both points. The key...

wrong. a ponzi scheme is a crime because of the fraud (misrepresentation of earnings), not because it takes current investor money to pay out old investors. in other words, if the real profits of the business are published (i.e., zero profits are being generated), then it's not a crime to take...

Care to share your simpler less sophisticated solution with the board?

I agree with many posters here -- programming skills are becoming more an more a low priced commodity. The influx of cheap Indian labor is a big part of it. More and more so-called skilled jobs are being shipped to India. It started 30 years ago with manufacturing, then later call centers, and...

You often hear that obvious "edges" in systems or setups disappear quickly because everyone exploits it. This is a corollary of the efficient market hypothesis. But I think there is a serious flaw in that hypothesis. The flaw is that economists assume there is the "correct" answer to the...

Actually I am not thinking about immediately using this for real-time signaling. Sometimes, I am studying the trades of a particular forward or back test, and I am trying to figure out why the signal triggered, and why on some days the signal failed. I have been manually inspecting hundreds of...