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I ran a regression using the trading outcomes for all of my trades as the dependent variable and the model parameter values as the independent variables because I was curious which parameters have the largest impact on outcomes. The intercept comes out as statistically significant (and...

Right, but it makes sense that the seller in this case has the greater power in the negotiation and can set the terms, since the seller is the one with the asset the buyer wants. If a hedge fund offered me a few million bucks, I would explain my entire strategy to them and then we would agree...

It's a little off-topic, but what is even the definition of "efficient" or "inefficient"? My opinion is that the market is always efficient and always inefficient. It's efficient because at that moment, price is reflective of all available information ("it is what it is") and it's inefficient...

Yes, there is a lot of leverage available out there, but the rationale for selling is the timing aspect of it. Again, for someone who is capital-constrained, the ability to instantaneously monetize the intellectual capital embedded in the software can make sense. So, yes, I would never, ever...

Yeah, I would definitely say "no" to divulging the strategy to anyone. I'd trade it on their behalf and if they could reverse engineer it, well, I guess that I couldn't complain because I take that risk by even letting anyone know the entries and exits. Even so, the ES is big enough for two...

Yes and no. Let's say that the software enables me to make 100 trades per year and, given my current available capital (including any leverage I can access) my profit per trade is $1000. That's $100K/year. What if I can sell an interest in the software or license for $500K up front or a 50%...

As someone who has something which could be automated (don't have the skills to do so, but know that it could be done) and works, I agree. At best, I would possibly license it to someone with some kind of gain-sharing deal, so that as they profited, I would also profit or I would sell an...

Has anyone tried this and succeeded? I've developed an algorithm for the ES and have had 8 months of profitability with a gain of 196% and a max drawdown of 26%. I've been optimizing it and it could have been even better. Clearly, if I can continue at that rate, I won't necessarily need a job...

I look for price to move a certain amount in a given amount of time. If it does, I'm in using stop limit orders. The amount is always different, based on volatility. So, just like Fisher, I watch price, time and volatility. I don't worry about "conditions" or anything like that. I found that...

I think that's just it, there are some minor contradictions. The one that I pointed out where he uses the A and C levels as if they were actual entries when he talks about trade examples was the one that stuck out to me. I was working under the assumption that the price he identified as point A...

Well, of course there is more than one way to make money trading. It just goes to show that the assumptions we bring to trading strategy development drive the final outcome. For me, I needed something that enabled me to identify the one price at which buying or selling is...

In the spirit of KISS, I think separating the signal from ACD overcomplicates things. Let say you are trading the ES and you have a signal generator that always triggers after an A up has been confirmed, so that you end up entering at higher prices than the A levels. You are leaving points on...

I also went through a period from late October to late November finding few opportunities. Took a few small gains and losses and was actually a bit underwater for the month and then "bam!" a huge trade on the last day of the month made my entire month positive. A textbook example of sticking to...

I recently have run into the "window" issue regarding some quantitative relationships which retain their ordinal structure over time (X is always greater than Y) but not their cardinal relationship, since X and Y are not static, nor do they change at the same rate. It caused me to miss a very...

Interesting conceptual discussion at that blog post. Would have liked to see some data on distinguishing between the outcomes of his curve-fitting taxonomy, but it made intuitive sense.

If you haven't, read Sophocles "Oedipus Tyrannus". You want to talk about coincidences, how about being abandoned by your parents as a baby, meeting your father at a crossroads in the middle of nowhere decades later, killing him and then marrying your mother, all in confirmation of an obscure...

A few days ago, Maverick posted a link to "The Logical Trader" online. I think it was the entire book. The thread grows so quickly that it could be 15-20 pages back by now, but it was definitely recent, like within the last 10 days. My guess is that everyone will have a slightly different...

The Ancient Greeks had a saying, "Call no man happy before his death" because even the happiest man could, on the last day of his life, experience a great tragedy. So, while I agree with you that philosophically speaking there can be no such thing as certainty, I can virtually guarantee that if...

Mathematically, the only way to turn a relatively modest-sized bankroll into a huge bankroll is to have a positive expectancy system and exploit it for all it's worth, which certainly means risking more than 2-4% per trade. I've never seen minimizing drawdown as a valuable objective. Since...

Seriously. When did taking a loss become such a big deal? I've had over 200 losing trades in the past two years. But, so what? I've also had over 400 winning trades in that time. It's a marathon, not a sprint.