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The way to solve this problem is using the Luby Transform code. Raptor codes are linear time codes which would solve this problem. The reason is because an Exclusive OR solves the bipartite graph problem that your data presents. http://en.wikipedia.org/wiki/Luby_transform_code...

I believe that the Trend Follower Dr. David Druz said that the most robust system is the most volatile. So trade a robust system, no one will ever steal it because its too volatile. That will reduce your security expenditures.

Can you just cannibalize its signals until the scalability increases? If you can't, than stop using it. By cannibalizing I mean - simplify the signals until you start getting better scalability while maintaining a decent and tangible risk/reward. If you study business books (or run a...

Don't you need to factor in liquidity somehow? Correlation doesn't mean anything when liquidity dries up...

This is a good article, not sure if anyone posted it. From Mercenarytrader.com, highly critical of MMT: http://mercenarytrader.com/2010/12/weekender-the-trouble-with-modern-monetary-theory-mmt/

Pimco Municipal bond fund is a great leading indicator of the US Markets. http://finance.yahoo.com/echarts?s=PCK+Interactive#chart1:symbol=pck;range=5y;compare=^gspc;indicator=volume;charttype=candlestick;crosshair=on;ohlcvalues=0;logscale=on;source=undefined

http://www.hussmanfunds.com/pdf/hsgqtr.pdf

Excellent this week. Hes one of the only guys who gets it.

Jem, were the bullets over the counter?

You raise an interesting argument. The article also doesn't mention something which to me seems to be important as well - confidence in the monetary policy. Even when confidence falls in a monetary policy, and attempts are made at solving them through creating a surplus, or shifting into...

off balance sheet stuff.... repo 105...

-risk in each trade (would be nice to measure the risk of not taking a trade too) -correlation of trades to each other and to an index -total capital at risk during the backtest, not just measured by the drawdown but by a series of measures like the size of the stop loss on the underlying...

Do you need some books on volatility? I can't answer your question, but a couple of pdf books of mine could... I think one of the problems is the duration of the volatility. It may have fleeting and illiquid behavior at times, therefore making trading it difficult.

Not sure, but they have $3 Canadian beer .....

I decided to keep them all. Ikea has a sale on Bookshelves.

Something like Position Size (% of capital risked) Average Entry Price / Average Exit Price = total gain or loss in % of capital risked Other interesting things: Available Liquidity (so you know if your trading strategy scales) correlation to other trades in portfolio...

One of the best threads ...

Crazy movie. Just watched it. Same name keeps coming up.... Must be a coincidence

If he were really ambitious and honest about his policies, he would say: Vote for me, shop at Walmart... And to the rich, keep shopping at Bloomingdales.

3% of GDP (but worth alot more once washed through the Markets at 10 times earnings or more)