That looks closer to what i intended, but still not quite right. If indeed optimization of leverage was done, you might write S = sqrt[2*ln[W]/N]...
That very well may be true, but doesnt make it right or meaningful. What if anything is the number produced according to this recipe supposed to...
This statement is incorrect. There is no way to annualize a sharpe ratio without knowing the average number of trades per year. Roughly speaking...
you learn regression in the statistics class in college or university. i use it, and it works fine for me, but then again, i dont use it (and...
sorry if anyone mentioned this already but in Canada, gambling winnings are not taxable while investment gains are. The tell, according to the law...
I read in one of those news that the total equity of Refco is around 400m, doesnt some more bad debt make it likely become insolvent? Granted so...
the remark about somalia and afghanistan is really off, but... i was there 15 years ago and again last year. The first time i was coming from...
should i liquidate and wire monies out of refco?
scale-trading? cycle catching? first, both sound like they are based on-mean reversion, second they are not generic ( see the name for...
Hey, this one is the mothers milk of mean reversion. You find overvalued options, according to BS or maybe something else i dont care, and wait...
let him be, he has said enough...
i think its alright what mahras is saying, maybe one can use the longer term trends and short term mean-reversion. but it seems very very...
indeed, you can do mean reversion on a single instrument, if you dont have the means and ways to hedge your bets. this is not a strategy but...
I still find the discussion on this forum lacking very much in the discussion of strategies. I dont think it is so very precious to reveal the...
Sorry, i retract my guess, i misread his earlier post.
Congrats, i always admire people who take it into their own hands and not afraid to fail. i dont see the point of people disappointed...
For automated trading you can do this: buy a U1 rack machine, set it up and ship it to co-location service, See Paul Vixie's website...
I know a guy who works for a bulge-bracket wallstreet firm, their group was the first to market with statistical arb in the early 80's. Anyway he...
There is nothing mysterious. Floor traders and firms holding seats on the exchange are the ones to decide. If tick size was 0.1 noone would use...
Thanks, sorry of my mistake: of course you'd enter a price above to be assured of filling a buy order.
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