This makes sense. I think the average amateur trader should break even before commissions (exactly zero alpha). If we include "investors" then...
Returning then to the OP, in answer to the question "Can short term trading be more profitable than long term", we can agree that the answer is no...
I still think the difficulties of daytrading are being understated here. Let's look at a simple example. Suppose you will make $200 or lose $100...
That list seems to be missing a few of the biggest players. From personal experience of the larger CTA's I would rate AHL, Bluetrend (now...
Obviously R, Python, MATLAB can do all this (as can most decent languages), although clearly there would be a lot of work to create the...
The first line is the "European VIX" May contract. The second line is the US VIX, also May. Note that the VIX has about 9 times the contract...
Trades since I last posted (26th March): code contractid filled_datetime filledtrade filledprice 3108 ASX 201506...
I realised that. I just find it interesting when people describe "Long term" as more than a days holding period.
Depends what you mean by long term. Taking a one year view there was an incredible downtrend, which anyone with a holding period measured in...
http://stackoverflow.com/questions/770579/how-to-calculate-percentage-with-a-sql-statement
The good news is the law of active management; sharpe ratio increases as the square root of 2 every time you halve your holding period. I reckon...
I think you're right to an extent. It's mentally definitely very difficult to trade a positive skew strategy. To take an extreme example,...
Review of first years performance
Drawing on what other posters have said, you have no edge so the Kelly optimum is not to bet. Since you're betting more than that zero you'll end...
This is probably something I will put on my blog in due course, and I'll post a link here.
To be precise I target 25% annualised daily vol. So its the daily vol I'm targeting, not the annual vol. Because of time series correlation, the...
Well Sharpe Ratio is return over risk; so it should not be affected by the amount of leverage you are using. With a 25% annualised vol target,...
Not a safe assumption. I'm married with 3 kids. If your partner doesn't share your priorities, then you've got a problem. You certainly are...
It's probably too late for this, but the trick is to marry the right wife, i.e. someone who shares your priorities. It's also a good idea to hang...
There's a middle ground isn't there, between the people who spend every penny they have and can "never" retire, and this guy. The width of the...
Separate names with a comma.