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Say we have 2 funds A and B. Fund A r= .1 dd=.1 t=12 Fund B r= .2 dd=.55 t=12 According to your metric both would have a TPI of 1.08. I am not sure this is what you're trying to accomplish with this measure.

The OP's paper is wrong. Sharpe's problem is not a decreasing denominator rather, an increasing one. Standard Deviation increases with the square root unit of time (Brownian Motion). This will have a lowering effect on Sharpe as N approaches infinity. It is also important to distinguish...

The only real stimulant for the US economy would be to revert to a more protectionist stance for the foreseeable future, as our lack of competitive advantage in many industries has been exploited by free (and not always fair) trade. The Fed simply has not printed enough $ right now to counter...

Flow of Funds Report Offers Hard Evidence of Deflation http://globaleconomicanalysis.blogspot.com/2009/06/flow-of-funds-report-offers-hard.html I am not sure if this was his intent, but recent analysis of the Flow of Funds Report by Martin Weiss eloquently makes the case for deflation...

AIG lost to JPMorgan.....etc, but most monolines posted no collateral in doing so. So any profits JPM has marked are bs if AIG can't cover them and then the chain of profits marked is evaporated, leaving losses on books. The only ones who have profited are those that have had collateral...

Looks like they just want to marginally move volume over to the cme contracts. Comical.

ES was introduced in 1998.

http://www.gogomag.com/talkingheads/misc_bloomberg_f.php http://www.gogomag.com/talkingheads/foxnews_fbn_f.php http://www.gogomag.com/talkingheads/msnbc_cnbc_f.php

schadenfreude Pronunciation: \ˈshä-dən-ˌfrȯi-də\ Function: noun Usage: often capitalized Etymology: German, from Schaden damage + Freude joy Date: 1895 : enjoyment obtained from the troubles of others

That's great and it's not a big deal to make consistent profits in the market, however, on a 2:1 risk reward your profitable trades would have to be > 25% to break even and > 8.3% on a 6:1 risk reward. What you have replied does nothing to remedy the missing information to assess the validity...

All this is illustrating is some open positions that haven't been stopped or closed. What has the rest of the account done from the time of the longest open position? The 140 entry on gbp/jpy suggests an entry date of 1/7/09 (giving the benefit of the doubt that you caught the top of the...

Your example is evidenced by the obvious downtrend prior to the event occurring and highlights the fact that the people on the other side of their trade were not of equal intelligence of future market events, thus making the "coin toss" between these two participants skewed to the ones with...

The coin will never be "fair" in the sense your thinking of. You're implying a Gaussian distribution which is not what markets operate under.

http://www.riskglossary.com/link/stable_paretian_distributions.htm The market is not random. All coin toss examples are pretty much useless in the context that you will never find 2 identical market participants (a head and a tail) such that the weight of the coin is exactly distributed...

malaka

Interesting thread. I have spent the last 2.5 years automating "me". The need was spawned from the lack of sleep trading spot fx and the rediculous ass kicking I got from not being diversified the night of the London bombing in '05. I started by identifying what I look at and the order of...

“You can’t eat relative performance” ...Roger G. Kennedy 1974

INow I sent you a pm with the description and links, it's not relevant to this thread so I won't post it here. Thanks.

I still have the long eur/gbp; short eur/usd; short gbp/usd trade on for over 2 months now. (I trade a basket of 12 fx pairs continuously) I see the eur/gbp headed to well over parity, and no reason it shouldn't since banking is a greater percentage of British economy. However, I see the...

Yes they charge. There may be other sites that offer similar services for free, I just blurted the first that came to mind. You gain an undisputable record to your calls, far more accurate (to the pip actually). Yes, the overwhelming majority of "systems" are discretionary trades based on...