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Sergio I agree with you up to the point of saying that the referenced article is "a great read". It s tough not be harsh on the blogger holding himself out as an expert on systems and then contending that the number of trades in your test does change the probability of random results. Lets...

Do not under estimate the value of the same rules working on a basket of stocks. And I agree with you, that you want to trade stocks that move, so eliminating the dividend payers is valid. The basis of a system is selection bias. You need to find the rules that work, or the stocks that...

EliteTraderNYC Would you explain what you believe PF is exactly and how you exactly calculated it? Thus far neither of you explanations are making sense.

Ha! Good One !!! You forgot the little smiley face, otherwise some people would think you were serious..... :)

Barring some huge extraneous influences money will favor where it garners highest yield ... right now interest rate differential favors Euro and looks like that will continue for a while.

http://www.youtube.com/watch?v=57ZXvROyAhk&feature=related Is it any different when its Americans who are being killed?

1. A 10 Day RSI with a two months of historical data will be exactly the same as a 10 day RSI with 20 years of historical data. 2. The ability to translate price to a 0-100 scale and have momentum comparisons not identical to price movements lies the true value of RSI. When are they...

It is not the type of moving average that I was speaking to, it is that the market does not hide its edges dependant on the optimized lookback period of smoothed data --- no matter the smoothing method. Any method that smooths data and then looks for a crossover to signal an entry in the...

Another thing to consider is that it is not the the math you are throwing at the premise, but what "premise" you are throwing the math at. Moving Averages are arbitrary with no pattern of distribution of interaction that will be consistent. While past price patterns and derivations thereof...

If I understand your view, all markets behave similar so therefore they should all use the same system parameters. As well all markets behave different when going up then going down, so different parameters for long and short. Would it be fair to say in your experience that the SP, Euro...

Hi Murray. Thank you for posting and keeping the thread alive. I'll be interested in you expanding your thoughts on a couple of your conclusions. You arrive at different places then I have. First I always use the same signal parameters for buys and sells. I believe if you have uncovered some...

In any system I have ever worked with the trades are to varying degrees related to what has happenned before. You could come at this another way. The chances of 4 winners in a row if the occurences were ramdom would be win% * win% * win% * win%. So a 50% system would be .0625 or once ever 16...

Nick Kalivas who does equity and interest rate analysis over at MF Global is a pretty good analyst. However more and more I wonder though how much of his ability is getting trampled by his increasing partisan political viewpoints. Sometimes the morning comments are like listening to Rush...

So the two components are close and exponential smoother.

What are the components of RSI --- only the last close and the length of the smoothing factor.

As a curious observer I was wondering which institutions you are familiar with that are using NN to trade?

============= Initially you should just try to verify your premise re volatility not assume its correct. So whatever you use it has to show and improvement over the basic model over a wide range of parameters. If the premise looks to have merit then one could improve the particulars. If it...

Ideas come from being emersed in a system developmemt process. The blank screen in Strategy Testing is a tough one. You just have to start and test something. Anything. Exit when its X% away from a moving average for example. Then look at the signals on a chart. Try something else. Look at the...

I remember someone ... never posted any entries only exits. Had a live room for a short time .... one time he finally posted an entry and when it was 10 points off side said his dog just got ran over. No one questioned it.