Search results

This is a trading forum and you're asking about investments. Are you sure you're in the right place? I can give you a trading performance measure but I'm not sure that's what you're looking for.

Here's what I hope is the final upgrade to the System Achievement Score : SAS == 4*k*max[ 0, E ]*PF*min[ 1, N/1000 ] , where k is the solution to the Kelly equation (see the OP), E is the expectation (%/100), PF is the profit factor (see below), N is the number of...

"Obama is Ranked last in Job Creation among modern US presidents" Shouldn't the Republican Congress that REFUSES to pass any job bill be the thing that gets ranked last? Just sayin'.

What am I denying? Having some mythical influence that until now only YOU were aware of? Well, yes, I deny that. I leveled the same type of criticism at Christie that you yourself did in the very post I quoted and linked to in this thread. So I ask you: Do you care about NJ politics...

Wow! I was unaware I had such influence. What else can I do to diminish his odds of becoming President? And here I thought I was just sharing a laugh at the latest emperor with no clothes. :p I care about corruption even in places I don't live. How many posts have YOU dedicated to bad things...

Good for you. And let's not veer off into Clinton-bashing, please. Neither Clinton or Christie has been nominated for higher office. I just don't think Christie ever will be nominated by the GOP, given this latest screwup. Now everybody knows he's just another tough-talking pussy.

The only cunt here is you, spermbreath. Check out what your fellow conservatives have to say. They agree with me, asswipe. http://www.elitetrader.com/vb/showthread.php?s=&postid=3817353#post3817353 http://www.elitetrader.com/vb/showthread.php?s=&postid=3817375#post3817375

"I don't care how much it costs!" -- Chris Christie (R - NJ) LOL! By ordering an expensive special election to fill the vacant Senate seat of the late Frank Lautenberg (R.I.P.) just to avoid having the election coincident with his reelection, Chris "Chickenshit" Christie has proven that...

Basically what Kelly tells you is that betting 1% of your capital would be disastrous, given that the Kelly fraction is less than a quarter percent. Using your logic, a braver trader willing to risk losing up to 30% of his capital should risk 0.3% per trade, but knowledge of Kelly would...

Yes, the Kelly fraction is an excellent performance metric, which is why I included it in my own composite performance metric. http://www.elitetrader.com/vb/showthread.php?threadid=270199

What I see is your unjustified assumption that only actual trading can produce performance analytics. So obviously you don't believe in backtesting, which anybody, not just large institutions, can do. We agree to disagree.

Hi, NetTecture What do you think of the following strategy performance metric? Thanks. System Achievement Score

I've decided that I really don't care how negative-expectation systems stack up against one another. If you share that sentiment, here's the version of the SAS for you. :) SAS == 6*k*max[ 0, E ]*(1 + E/sigma)*min[ 1, N/1000 ]

+100 Bravo! If a moderator is going to be an asshole in a foodfight forum like P&R (and I can only think of the one already named, thank TPTB), then maybe he shouldn't be a moderator. Barring that, we should be able to put him on ignore, at least for that one forum. I have no problem...

If all the replies you get in a thread are troll replies, why would anyone but the trolls care about their removal? I think it's reasonable to give more consideration to the thread originators than a bunch of people who often contribute nothing worthwhile to a thread. While I'm here, I may...

So fly first class from now on. I'm sure they'll live up to your dress code. :D

Virtually the whole flight as been automated these days, including the landing. Why do you think the number of crashes are down? Sure, piloting is still a very technical task but it's not like the old days by a long shot, not for airliners anyway. But you've gotten off topic, which as I...

When they make you take off your shoes just to get on the damn plane because some assmonkey of a failed terrorist couldn't ignite his stinky shoes, who the fuck wants to get spruced up for the humiliation? That's not counting the fact that flying used to be something only the rich and upper...

Sorry, I don't have Excel. But it's not hard for you to get your Kelly fraction. Just use Excel's Solver routine to solve the Kelly equation in the first post.

Do you think large institutions with money and time to burn are the only entities interested in evaluating trading systems? Seriously?