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I'm beginning to get the idea that people think edges are rare and difficult to find. Neither of these are true. I assume most of this community are retail traders. In that case, you just need to ask what edge (or structural advantage) do I have versus others (think large accounts with...

Edges are structural. When the structure changes, the edge changes. Markets are used to monetize edges. Look up SOES bandits as an edge example. A interesting story.

At the investment bank where I worked, minimum acceptable return was 25% above cost of borrowed money plus the desk overhead.

Nikkei 225 up 8% so far. I guess we'll find out if the drop was caused by unwinding the carry trade.

TA is based on the premise that all information about a security is priced in and can be used to predict the future or at least future direction. Books like The Encyclopedia of Technical Market Indicators have studied the various indicators and found no predictive value. All securities have a...

I used Tick and Trin for my daytrading in sp 500.

When you build a portfolio like this think in terms of pairs trading. You may have a breakout strategy paired with a reversal strategy in the same time frame. A negative correlation would be confirmation of a good pairing. If you had 5 pairs each with a negative correlation then you can check...

Bonuses were allocated from my boss. Company had to make money or no bonus. Department had to make money or no bonus and the department would likely be dissolved. Each trader had to meet target returns or no bonus and likely firing. The amount of bonus had allot to do with amount of funds...

I doubt emotions have much to do with trading results unless you're gambling. If you have a strong emotional reaction to a series of wins or losses you're probably trading with too much risk. Boredom is the dominant emotion traders have while waiting for the probabilities to be realized in a...

The easiest approach is to check the correlation of each of the strategies to one another. If a strategy is .5 or greater, keep the one with the best profit factor. Develop new strategies with a negative correlation so that you can have a smooth equity curve that we all desire.

No, we don't have direct access to the products. I wouldn't have tried to trade them anyway due to counterparty risk of the illiquid product. If the company went bankrupt then you couldn't close your position and you wouldn't get any of the profits. For me the best product to trade is the stock...

I was naive. Back then I thought I could have a conversation with like minded traders. I was sent some screenshots of my posts from websites in other countries. One was a thread that had been downloaded more than 10,000 times. My interest in trading is the discovery and research of interesting...

The movie on Netflix, The Big Short was a nice example of edge trading. They spotted a structural flaw and positioned trades to take advantage of it. I had to watch it a couple of times to get past the drama and see the concept. The movie overstated how "in the pocket" the rating agencies were...

From what I read his reference to bootstrap testing is another name for Monte Carlo Testing. Looks like he took monthly returns; randomized them in 500,000 passes and totaled the annual performance. Then he compared the actual results with the ranked sampled returns. For p-testing you usually...

The tables only go up to 99% confidence level. The expected number of occurrences in a population of 100,000 trials with 10 losses is only .59. This is indeed a rare event. (.3^10)*100000 = .59 Alan

ok, I'll try to explain it a little better. In the example given the z score is not relevant as you explained because there is no variability in individual trades (0 std deviation). The mean win and loss then becomes the expected trade win 500 or lose 500 per-trade. The win/loss % is...

Three elements to this question. 1). What is the expected profit factor of the strategy? 2). How much pain in the form of drawdown are you willing to take? 3). How prepared do you need to be for outlier drawdowns? In a strategy with a 60% win rate and 1:1 win/loss the profit factor is...

1. In the example given, the average return would be 3.5% and the std dev would be approx. 1.29%. You're just measuring the amount of dispersement from the average (or mean). The lower the std dev, the lower the perceived risk. A common approach would be to take the average of 3.5% and divide...

Well, I was up trading the DAX. As I sometimes do, I stopped by ET to check threads for ideas. I saw the thread with my name and checked it out. I don't recall if the poster thanked me for any specific thought or in general. I agree it was poor form to post a thank you publicly. I should've pm'd...

I post infrequently due to a lack of control of my posts. On occasion I've posted something I wanted to pull but was told it's no longer my content. With that in mind I re-think many posts and stop myself before putting myself out there. I still stop by to check pm, though. Alan