Recent Content by tdazio

  1. Non-normal Kelly's criteria

    https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2956161
    Post by: tdazio, Aug 20, 2020 in forum: Risk Management

  2. How many strategies do you Test

    this page can help you: http://datagrid.lbl.gov/backtest/index.php
    Post by: tdazio, Feb 11, 2017 in forum: Automated Trading

  3. Volatility forecasting

    Euan Sinclair suggests to keep things simple: http://blog.factorwave.com/volatility-forecasting-for-traders
    Post by: tdazio, Nov 29, 2016 in forum: Options

  4. Want to backtest historical data as far back as possible.

    1896, DJI http://stooq.com/q/d/?s=%5Edji 1789, SPX http://stooq.com/q/d/?s=^spx 1709, UK index...
    Post by: tdazio, Sep 28, 2016 in forum: Technical Analysis

  5. Quantopian

    http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2745220
    Post by: tdazio, Aug 2, 2016 in forum: Strategy Building

  6. sharpe ratio calculation

    Interesting question. But if price raises from 100 to 150 (typical elite-syle backtest profit :-) log-ret error became intollerable To avoid...
    Post by: tdazio, Apr 18, 2016 in forum: Professional Trading

  7. sharpe ratio calculation

    Are you sure? Averaging daily log-return to get yearly return introduce error: it seems me need trasform numerator of SR formula to a linear...
    Post by: tdazio, Apr 18, 2016 in forum: Professional Trading
  8. tdazio
    Profile Post

    Nec spe nec metu

    Nec spe nec metu
    Status Update by tdazio, Apr 6, 2016

  9. Critique this position sizing method

    Daal, kelly f is: (r-Rf)/v, were r = expected return, Rf= free-risk ret, v= expected variance of ret Tipically you use history to forecast r and...
    Post by: tdazio, Apr 6, 2016 in forum: Risk Management

  10. Critique this position sizing method

    cjbuckley, E. Thorp in his famous 'The Kelly criterion in blackjack, sports betting and the stock market' (2006), shows that Warren Buffet is...
    Post by: tdazio, Apr 6, 2016 in forum: Risk Management

  11. Critique this position sizing method

    in real-world, where average sharpe-ratio are in order of 0.5, continuous finance kelly criterion (f=1) works great. of course, in dream-world of...
    Post by: tdazio, Apr 6, 2016 in forum: Risk Management

  12. [R/Python] Can I hear sound from my PC, as soon as MSFT hit $50?

    in R: alarm() or using package tuneR : http://music.informatics.indiana.edu/courses/I546/tuneR_play.pdf
    Post by: tdazio, Jan 9, 2016 in forum: Automated Trading

  13. Golden System

    The core of strategy (long overnigth, short intraday w/o filter) is here (credit to Jay Kaeppel):...
    Post by: tdazio, Oct 7, 2015 in forum: Strategy Building

  14. Golden System

    Yes, but only using past tense verbs
    Post by: tdazio, Oct 6, 2015 in forum: Strategy Building

  15. Golden System

    Take GC futures 5 minutes data stream: #1 at 09:30NY record price P1 #2 at 15:40NY record price P2 and #3 if P2 > P1 then: #3a long overnite...
    Thread by: tdazio, Oct 6, 2015, 6 replies, in forum: Strategy Building