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A useful rule of thumb (which I teach my students in week 3), which can be derived from the sampling distribution of a mean estimate, is that for statistical significance you need at least N data points where N: N = 4* (s / m)^2 Where m is the average value and s is the standard deviation...

I did some research on this a few years ago, let me see if I can dig it out. GAT

I'd agree that you should never trade just one signal (I use dozens), but it doesn't follow from that you shouldn't test individual signals. To bend your analogy, I'm not going to throw an ingredient into my cake without checking to see it's edible and hasn't passed it's expiry date. I'm adding...

Because we don't know for sure that it's winter GAT

I haven't tested moving averages alone, but I have used moving average crossovers, and indeed they form a core part of my trading system. But the comments I'm about to make apply equally to almost any trading rule or indicator. Based on my research, simple indicators like moving average...

You guys are kicking my butt.... no money being made here :-( GAT

No. If I couldn't trade for 2 weeks my backtested Sharpe would fall from about 1 to about 0.99 A power outage of a few hours doesn't bother me. GAT

2021-02-17:1500.24 {'type': '', 'broker': 'IB', 'clientid': 455} *CRITICAL* Error New capital with new account value of 311522 profit of -45819 is more than 12.8% away from original of 357341, limit is 0.1% whilst updating total capital; you may have to use update_capital_manual script or...

I read the book a while ago, and I can't remember if Wednesdays is arbitrary, deliberate (most people refit weekly strategies on Mondays or Fridays, so why not), or overfitting. Of course you could divide your capital into five and trade one fifth on each day of the week to smooth things out, if...

A tail hedging strategy that actually makes money in the long run is actually very difficult to do - I haven't seen evidence that Universa does that, then yes you have a money machine: an asset that will go up in the long run (S&P 500) and another one that perfectly hedges it yet actually pays...

Trade by trade stats on FS are currently broken but I will update when fixed GAT

Yes it's daily returns. So you are right, won't include intraday drawdowns. I wouldn't imagine they are very significant however. GAT

Yes, I get this argument regularly. Latency isn't an issue for me, but cost wise there's probably not much in it nowadays (given I've probably spent $3000 or so on hardware in the last 8 years of trading my own money, this is roughly my third or fourth 'generation' of machine), but basically I...

Yes all my own crude code, it's open source, help yourself. GAT

He has had an average account size of 150k for four years and his best ever month was late last year. It's probably capacity constrained as he keeps withdrawing to keep down to that level, but still... GAT

If it was a trading coach I wouldn't have blinked twice. But FS numbers are supposed to come from the broker and hence be hard to fiddle. Also this guy is anonymous and not selling courses... GAT

Well no: the drawdown will include losses on open positions. GAT

It's drawdown on mark to market p&l. GAT

I can't reproduce the account curve here, but if you have a FS loging you can see it: https://fundseeder.com/trading_account/17211 Five years of trading without a single monthly loss. A scam? Selling options? HFT? Account size 157,453 Annualized Return105.59% FS Score86 Annualized...

"Help me Obi Wan. You're my only prime broker" GAT