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(Linear Regression Slope) gives you points per day. 100*((Linear Regression Slope) / (today's close)) gives you percent per day. Probably this is what you want if you are comparing two stocks. (Linear Regression Slope) / (5 day EMA of True Range) gives you ATR's per day. Probably this is...

A Random Walk Down Wall Street, by Burton Malkiel

I doubt there is any such thing as "best". If you and I look a the equity curves of two different systems, you may prefer A whilst I prefer B. When a third person asks us "which is best, A or B?" there is no correct answer. Therefore, other people and their opinions can sod off. What...

"However, that fact has not created in me a sense of obligation." (Stephen Crane) http://bramante.metabarn.com/CraneSample.html

Well, in my opinion, trend following is a bet on what price will do (continue in the direction of the breakout). Mean reversion aka countertrend trading is also a bet on what price will do (go in the opposite direction of a breakout: resistance will hold). Both strategies hope to profit by...

Another generic style of trading is "insurance selling", which people often implement by shorting far-out-of-the-money naked options, either outright or in spreads. Don Fishback & ODDS, for example. Yet another generic style of trading is "calendar plays", which attempt to exploit price...

1. Dogs of the Dow 2. Sell in May and Go Away (seasonality system) 3. CANSLIM 4. No-Load Fund X 5. Value Line 6. 200-day MA system 7. Dual Moving Average Crossover system 8. RSI Thresholds system 9. Darvas Box System 10. Bollinger Bands breakout system 11. Moving Average Envelope 12...

These features have been available in the competitor program "Trading Recipes" for seven years, and in the competitor program "Wealth Lab Developer" for three years. Attached is an example output file from Wealth Lab, showing a mechanical system trading a basket of 150 stocks for a period of 15...

I have found that a certain "genre" of mechanical systems work quite well on baskets of stocks. By that I mean, they produce equity curves that show a pleasing compound annual growth rate and an acceptable depth & width of drawdown. Deliberately I phrase these as subjective human judgement...

Dude, you and I are on opposide sides of this particular trade. I'm short Dec PA thanks to a penetration below the bottom Keltner Channel. I trade PA and a lot of other markets for Long Term Trends, so my Keltner Channel parameter settings produce infrequent trading. Of course this may be...

Belated thanks to TGregg and others who suggested that the middle post of an Aeron might drag if using hardwood floor rollers on carpet, even with a (flexible) mat. I bought the larger diameter carpet rollers, and the problem is solved. (BTW, $80 plus shipping and tax. For five plastic wheels!)

The problem with classical optimisation algorithms (variable metric, Levenberg-Marquardt, quasi-Newton, conjugate gradient, etc.) is that they are based upon two assumptions: (1) The objective function is continuous (2) The objective function is unimodal Sadly, these are not true in the...

Can completely discretionary traders ever succeed? Yes. Here is a successful purely discretionary trader: http://traderclub.com/discus/messages/107/944.html?MondayOctober3020000924pm

I like to see (% of profitable months) > 70% and (% of profitable years) > 85%. I also like to run Monte Carlo Analysis to create 5,000 new equity curves by scrambling and resampling the daily returns of the backtested equity curve. Then I like to plot the cumulative probability distribution...

The hedge fund / CTA world has figured out how to do apples-to-apples comparisons of traders who use fixed fractional money management. None of the professional traders they track, trades single contract lot sizes. Yet the world has found ways to compare different funds with different amounts...

see http://www.elitetrader.com/vb/showthread.php?s=&postid=795377#post795377 EOM

There is a discussion of leading indicators in LeBeau and Lucas's book, http://www.amazon.com/exec/obidos/tg/detail/-/1556234686/ They are particularly fond of one specific leading indicator. Dig in and read, you may enjoy their coverage. If you confine your studies to pp 80 thru 100...

If you want more things to be confused about, observe that a low pass filter (electronic smoothing circuit) built with a single resistor and a single capacitor, has the exact same output response as an EMA. The way engineers describe the lowpass filter is to talk about its "RC timeconstant" in...

Smoothed versions of price (for example: moving averages) can be used in a bunch of different ways to build rule-based algorithmic trading systems. Some of my favorites include the following. (Notation: S[Today] == the smoothed version of price, today. S[Yesterday] == Yesterday's reading of...

I've bought several vendor systems that are tracked by futurestruth. I've also done my own historical backtests to see whether or not I agree with FT's published backtest results. Consistently the answer has been "Yes, but". Yes, my backtests match FT's when I use their testing methodology...