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Thank you. His analysis shows that forecasting volatility using Exp. Weighted MA can produce higher return with the same St. Dev. than using GARCH. There're no details how he calculated this.

this is awesome! http://www.kimpire.com/ ROTFLMAO

And now for something completely different... www.trendax.com This guy probably doesn't even trade, but this stuff kicks ass :cool:

I stopped believing in market cycles a long time ago. It's not about believing, it's about showing some hard, statistically significant figures. in the end you must trust your prediction and play it or admit...YOU DON'T KNOW! React, adapt, rather than predict - key rule in trading...

"I have been struck recently by the disconnect between the worldview expressed by these economic and finance papers, and the view that I was seeing by standing on trading floors and talking with investment professionals" I have a similar impression. They're using entirely different languages...

I've posted similar questions on Wilmott forum, but I didn't get what I wanted. Maybe ET'ers will know more. Do you know of any trading system (excl. arbitrage) and it's historical hypothetical or real performance on most popular markets (futures, stocks, forex; in 1-30 min. intervals) based...

Understandable - Bright Trading it's not a charity org. Oh, there's a better deal. You can daytrade $1M value with your own $25k using futures. All profits go to your pocket :D

What happens if poor trader will lose $50k or 5% from 1M - more than his $25k stake? You'll yell at him?

www.olsendata.com Historical Data > Format > last row "Exch bid, ask" in tick column > click STD for a sample. Looks like they have ES ticks only from 13 Nov 2002.

OK. Does he test it on proprietary software?

metooxx, could you look at the PM I've send you on Feb 14? Thanks

Good comment Mecro :)

Some prop or individual traders may have scalable, diversified strategies, but don't always have enough capital to trade them. Point is, it is unrealistic to conclude that prop traders "wouldn't know what to do with $5M". Strategies used by individual traders with relatively small capital (~...

I think estimating slippage should be connected with: - your avg order size vs avg # contracts at bid/ask - avg spread. Based on your real trading experience, what is more accurate slippage figure with ~100 contract orders on Emini S&P: 0.5 pts per round turn or 1 pt / RT? In...

Tell this to guys from Transtrend BV or Meyer Cap. Mgmt "your backtesting is useless". They'll have a nice laugh.

www.2advanced.com check out their portfolio http://www.2advanced.net - hosting

In other words women's CPUs are equipped with Hyper Threading Technology :)

Where do you get this number from? Thanks

I think harrytrader is a perfect candidate for this job. Just look at his charts :) graphic artist, rare specialist in stochastic calculus and - last but not least - enthusiastic about being a quantitative analyst LOL

Zero hits in google for the phrase "portfolio optimization with stochastic adjustment". Why they don't ask for something easier like "constrained recursive kernel density and regression estimation by stochastic gradient method" :D