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And your criterion. What are you trying to do in the markets? (And if the answer is just "to make money," then you're hanging out, and likely the hurt express is headed your way).

Yes, but never, say, a 3 sd year in the yearly broad market I believe. This is why sharp and other measureswgich incorporate variance arw only relevant for the time period they measure. When someone asks "What's the Sharpe ratio?" the only intelligent way to ask that is "what's the Sharpe ratio...

Any measure that uses variance has the problem of time frame. A Sharpe ratio using months will be less than one using years. It's a ratio that, the longer the time period used as input, the better it looks. How many 3 sd days are there as a percentage of all days? How about weeks, months...

It's true. And he's a real no-bullshit kind of guy when it comes to the markets and what works in them.

Why MySQL? Do you need relational tables? Why not a NoSQL like Mongo (which I love). I say this because some data, say, you may have only monthly (e.g. monthly employment number), some data may have OHLC data to it (Daily, or intraday) , some may have volume, some open interest, some split...

No. I'm talking about variance as affect by both upside and downside. Increase in the variance in returns is (closely, when non-binomial distribution, exactly when binomial) the same as decrease in returns, squared.

You positions size, however, is unavoidably gong to ultimately be a function of your account size, hence your returns will be. The dry cleaner's business gross revenue is not so much affected by increase in cleaning solution price (i.e. not affected by the cleaning solution price squared). The...

SO I used to run ultra long-distnaces, because I am big and slow. Not that all who do this are big and slow, but regular marathons and such just weren;t so much fun for me as being out in the woods and going 7-8 hours to "train." As I got older I stopped that, and instead walk now - and I'll go...

Trading though is a compounding process, hence increases in variance in pcnt returns are equivalent and identical to decreases on pcnt return - squared! The examples you cite of lumpy income don't have this guatapens, they are more like saying that a guy COULD live off of a social security...

I agree. If you want to make a living at trading, make living doing something else and trade. It;s FAR easier, and, since what you make has month-on-month variance but your cost of living does not (mostly), the way to make a living from trading is to make a living from a job ad trade. This is...

We've been in a bull market since the scene at the watering hole of Kubrick's 2001. Man's progress is ever-upward, in fits and starts. I look back at what were great BUYING opportunities, that only appeared so in the rearview mirror. July, 1987 was a GREAT buying opportunity. All of 2007 was a...

Don't pursue comfort.

Patience and nerve. This stuff - regardleess of how good your system is, takes patience and nerve. Of course it will make you angry, beat the hell out of you. If you're comfortable, you better get flat - right now.

Your pairwise correlation term is going to dance all over the place. When Gold moves by, say, 3 sigma, your pairwise correlation value will go up. So too if, say, corn move 3 sigma? What you;re not trading that stuff? Doesn't matter, when one market moves, however disparate, they all tend to...

Why do you want to "consistently" win? You could buy quality fixed income products and that will fix that problem. Do you win, period? Maybe you're looking to make a living trading, which is a far more difficult impediment to trading,something most fail at. Or maybe you want the "smoother...

I beg to differ. It depends what you're in this for what you're looking to do here. I suspect this answer and those who agree with it are all coming at it from the standpoint of"continuing to trade indefinitely into the future." If that's the case then what they're saying does in fact makes...

The only metric that matters it's how well you are satisfying your criteria, what you are seeking to accomplish here. Other than that it's just alphabet soup, an absent really knowing what you're doing here doesn't mean anything, it's just masturbation. (And please don't just say my Criterion is...

Trading is a LOT more like a fight than any other analogy I've found. And in ANY fight, ANYthing can happen. The ones you think are going to be easy, are the ones you are likely to find you really have your hands full, the ones you should have sat out somehow.

Cash sitting at a brokerage firm, in general, has a history that if it were itself a bond, would have a credit rating below anything on any scale.