Search results

When I say combination, in this example, I'm referring to the combination of moving averages and the system buys when one moving average crosses above the other, and sells when it crosses below. Another system may only have one parameter (not a combination), like buy on a n day breakout...

Great answers. To give an example, suppose you run several simulations of moving average combinations, and you plot some performance metric (like expected profit) vs. simulated combinations; if it performs well for one fine tuned combination (parameter, say 50/100 cross), but much lower on...

http://thelede.blogs.nytimes.com/2008/07/10/in-an-iranian-image-a-missile-too-many/index.html?hp

Define irony: When one who deigns to join a discussion of ideas contrary to their own, lambastes others for faulty reasoning, then proceeds with an interjection of equally biased presumptions. P.S. Contrary to your opinion, all the posters on the thread did not necessarily agree with the...

Last night, before I hit the sack, I recall reading posts about hang seng imploding, YM down 70, LEH going bankrupt and shutting down commercial operations... It was bad, bad, bad looking. Wake up and it's green, green, green. Can't say that was obvious.

to make it a little more clear. Suppose a stock went from 10 to 12.5, the relative gain would be 25%/trade here. However, if you had, say 1,000 and bet a fraction of 2.5%/trade, you would bet the maximum fractional shares near $25, or 2 shares. Thus your gain would be 2shares*2.5 or 5...

When they calculate the statistical back test performance, by default, do they base the trade gain/loss on how many shares/contracts you could have traded per fraction of capital allocated (rounded to nearest integer shares), or simply the gain/loss between the securities price change during...

don't know if this is a clue... but see anything different?

http://www.dbquant.com/Presentations/BachelierConference.pdf http://www.maths-fi.com/article_Why_we_have_never_used_the_Black_Scholes_Merton_Option_Pricing_Formula_Haug_Taleb_nov_2007.pdf

There's a few similar scenarios covered in "origin of wealth." It's a layman's book on modern quantitative non-linear research on financial markets, but the research looks interesting. Check it out when you get the chance. An interesting scenario I'd like to see is to model a "house"...

I think I agree with most of your reasoning (have to go back and read the rest of the thread). However, by the above pragmatic definition 87 was a black swan to the larger uninformed (statistical) population, even though some insiders may have had a very high likelihood of expecting it. By...

I think he is referring to unpredictability in a statistical sense. I could come up with a list of an infinite number of predictions of events-- and if some event happens, can I say I predicted it? Sure, in retrospect. However, if you try to assign some likelihood to events using some type...

Seems interesting. I suppose you could also filter it to only plot the last point (blue or yellow), between transitions between a yellow and blue marker; thus marking local min and max's within the minimum spread (resolution) you identified. Thanks for sharing. I'll try to play with it...

would you mind showing maybe a three-five year daily plot of any instrument with highs and lows (found by this algorithm) identified ? Say, using a 5 % (rather use % relative to prior pt. than numerical pts) threshold for a trend definition here. I've done this type of work before (albeit...

thanks. Just wanted to glimpse at something like this (more up to date of course) sans looking through detailed matrices at the moment. from: http://www.tradewithform.com/DailyReports/CORRELS/SectorCorrelSum.html

So I managed to get a free 512M PC2300 card@142 MHz (infineon). Added it to my 1G PC3200 (200MHz) card (corsair). I now have 1.5G, and the net speed actually dropped below the lowest (128MHz) as measured by one of those hardware test programs (can't remember the name right now). Don't...

expectation: A: .9*5-.1*1 = 4.4 B: .51*1-.49*1 = .02 System A, expect $4.4 per $1 risked. System B, expect $.02 per $1 risked. hmm... which to choose, which to choose. Assume you only have $1 and one event to make the choice.. System A has 10% chance of losing it all. System B...

speaking of which, anyone have any type of data or plots for correlation of multiple markets over past few years to present to post? TIA ( I explained how to do a basic version of this somewhere back in the TA threads, but don't have time to run the numbers right now).

:D <p><span style='text-align:center; display: block;'><object width='425' height='350'><param name='movie' value='http://www.youtube.com/v/8ZWnxhEr0UA'></param><param name='wmode' value='transparent'></param><embed src='http://www.youtube.com/v/8ZWnxhEr0UA&#038;rel=0'...

http://www.cftc.gov/marketreports/commitmentsoftraders/cot_about.html