Edge: (from backtesting your system) #trades - (#system parameters) >= 30; #wins*(avg win) - #losses*|avg loss| > Buy&Hold.
I've heard that IV predicts future HV. IOW if the IV is higher(lower) than the current HV, then the HV will move up(down) towards the IV. But...
I haven't used the CFB or any of Jurik's other products but I have gotten invaluable insights from his extensive writings on how to design my own....
I haven't read the book but, for what it's worth, I'm always suspicious of "magic number" systems. Anytime somebody says "Always use the 10-day...
Legend says that if you catch a leprecaun, he must give you his treasure. Common sense says that if you catch a trend, you'll make money. But...
Does anybody actually use historical volatility in option trading? It seems to me that all the emphasis is on implied volatility, and I've looked...
I don't believe in the "never lose" system. But I do believe systems can be designed as net-positive in expectation. So the HG would be a...
How much are you willing to pay? :)
First, you have to realize that you're mixing apples and oranges. LR is a model. You assume the data has a linear form and you "force" the...
Composite Fractal Behavior : http://www.jurikres.com/catalog/ms_cfb.htm#top Mandelbrot, B. B. [1999] "A Fractal Walk Down Wall Street,"...
I understand the math just fine. More importantly, I know better than to force the data to fit my "pet" theory, dumbass.
I hear you. What's so special about the 'best' quadratic? Why not the 'best' cubic, or the 'best' quintic? :confused: Curve-fitting can be...
"Do not buy any moving average based system!" -- abogdan :D :D :D
No, you can use cubic (3rd degree) splines. I assume MAESTRO meant cubic spline smoother, because cubic spline interpolation fits every point,...
Daily is the norm. Yeah, this one is all over the place, although the end result usually winds up being annualized. This brings up the key...
historical volatility (HV) aka statistical volatility (SV): annualized HV = sqrt[ 252 * variance of natural log differences in daily prices...
You have to include the previous close, or it isn't the so-called "true" range, it's just plain real range. :p True range is defined as the...
bump
J. Welles Wilder's RSI and George Lane's Stochastics are two famous overbought/oversold indicators. There are literally hundreds of books and...
You want to use the log definition, because a key assumption of Black-Scholes is that price is lognormal, that is, price returns as measured by...
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