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In other words, with commissions, spread, etc., the PNL is going to -Infinity, or -AvailableCapital, if the capital is any positive amount (enriching the broker :-)) ). In my personal perspective, this is to be interpreted as the inability of a strategy (trading methodology) to use the trading...

That's right. In the case of "Open/TakeProfit/MemorylessStop" strategy types ("single-threaded"), the asymptotic avg of the PNL is obviously zero, if assuming no spread and no trading costs, and enough capital to sustain the trading indefinitely (unlimited). No matter what is used to "open", and...

No, without, a significant positive drift (stronger than the massive trading expenses), it would not. The trading expenses, spread and interests, with this kind of frequency would drag you down pretty quickly, with no coming back, ever. Btw, I never presented anything as "miracle", I am just a...

> Real price curves ... follow ... a Levy distribution You are dreaming. Those are just simple probabilistic models proposed by humans, not an intrinsic property of the mkt. > Real price curves are doubtless generated by stochastic processes, but they are no random curves This sentence...

Well, not only you need statistically acceptable performances under suitable stochastic processes, but I will put it much more bluntly: "The fact that a trading methodology must be able to statistically cope with a(ny) "realistic" random process is a prerequisite (with no guarantee of success)...

I am glad to hear that. Schopenhauer and Haldane evidently got it right: "All truth passes through three stages: First, it is ridiculed; Second, it is violently opposed; and Third, it is accepted as self-evident." "Theories have four stages of acceptance: i) this is worthless...

Skepticism is always a good attitude for a scientist. And yes, this is (currently) the only approach with player "superposition" and preservation of past trading information. But I expect these concepts and architecture to catch up and become a basic prerequisite in the near future, as...

LOL. No, you did not understand right :-) I merely talked of statistical "strategic dominance". (Which might also mean that, if S is a loser, S* can still be a loser, which has a statistical property to lose less.) You can't hedge, "superpose players" and layers, have free order sizing and...

I believe that the theoretical situation you describe (portfolio of random walk curves, some correlated, some anticorrelated) is the "ideal" situation which (in statistical terms) may maximize the positive drift you can build with a scalping/hedging game. The actual form of the random processes...

> In any other regard the strategies are exactly identical. This cannot be. To use past information, S1 must be essentially different. For instance as to sizing modes, entries and close. At minimum, there are the "losing" players open which must be closed when possible (partial loss...

> is that correct? That's right, in the sense that it provides a necessary condition to play trading games which are not uniformly dominated (clearly, it does not "guarantee" an "edge"). > Suppose the win chance of any trade is 50% In very rough and simplistic terms, assume you were trading...

Hi jcl366, thank you for your question. A "deep" answer to it is actually problematic, as it would first require us to define what is meant by "random" :-) and it may even be argued that many people actually are mostly making "random entries", even though they live in the illusion they are...

Let me begin explaining the rules reorganization. Later in case we will go through the individual rules of each rule set. - Cloud Phases - First of all, let's remember, that based on pragmatic experience, we have identified (so far) 4 main "phases" (per side) in the order cloud formation...

End of the week. Quietly scalping and hedging. Mostly hedging: the mkt continuously pulling up is preventing us to close several short players still open on metals and energy (which are almost reversing position at this point). In the meantime. I am getting ready with the new release, which...

Here is some anticipation on the game reorganization (mostly done, currently just testing on some test accounts of mine with real $$$) The reorganization consists of differentiating the behaviors within 5 categories, 4 of which we already know (we have talked about them in a previous post)...

Midweek update. Nothing special happening. Some quiet scalping/hedging ("G-L" up to 112K, PNL currently around 14K, decent drift). Mkt still pulling up. I have been working on a complete reorganization of the scalping/hedging game rules. Now that it's much more clear what are all the...

End of this week, which has started with an holiday. Mkt pushing up all the time and we have been loading up on metals. Some minor problems and disappointments with JDST and DGLD, which have been not shortable almost all the time (DGLD still is) and therefore were essentially "locked". So I had...

For a public realtime demonstration (carried out with real $$$) of this trading approach (based on "player superposition" and statistical drift you can follow this current test thread on Elite Trader: http://www.elitetrader.com/vb/showthread.php?t=279057&page=38

End of the week. Nothing extraordinary happening apart the activity in small caps we have got used to in the last weeks. Scalping quietly. Margin usage is just 137K at the moment (clearly thanks to "portfolio margining" mode which eats up a lot less than RegT, especially with this kind of...

Here is a detail of the <b>order cloud</b> of the current top PNL layer, which is of course TZA (small caps). (It has a "short position constraint" and currently playing a "short-biased" game.) As usual, the top picture represents <b>all</b> orders (blue=buy, red=sell), while the bottom picture...