Here is a google docs sheet that does what I describe:
The explicit link is here in case the sheet doesn't display:...
The line you describe is exponential. I don't use Excel much but if you draw the graph with a log scale and then add a linear fit to the graph...
It's pretty common when forecasting in financial data to get really poor R^2. I prefer to look at performance. Even if you do this it's still...
I've just pushed a major upgrade to psystemtrade. Read: this. Now you can: get data from quandl.com, store in mongodb.com and...
Awesome. Thanks for the name check.
Also got this: an ~80% fall in my account value with all my stock positions vanishing and most of my futures for about 3 hours this morning.
Well the big fat NDA I signed with Man means I can only talk about what they're doing once it becomes public domain, hence the confusion.
Yes, still writing the documentation and then I need to drop in the last part of this particular phase which does the actual backadjustment of...
No although obviously you could run a full backtest and then slice the account curve
They've had a break out system for at least 15 years
To the excellent points already made I'd add this: you can't make these kinds of decisions based on 15 months of returns as you don't get anywhere...
I currently have a broken build whilst I'm fixing up some refactoring but will look at this when done
The approaches are pretty much equivalent, really the second book is just an extended explanation of the asset allocating investor in book one....
Welcome to the party
This blog post is exactly what you need
Actually it's the median, but yes.
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