Here's the link for the streaks: http://www.elitetrader.com/vb/showthread.php?s=&postid=3186224#post3186224 The math is simply taking the...
With the numbers you've provided, the 95% confidence level is a drawdown of 23% per 100 trades. If you went to 3% per-trade the 95% confidence...
The basic formula for figuring the expected maximum losing streak is: S = ln(1/T)/ln(L) where: L = % losers S = Streak T = # trades Ex....
As a precursor to building Doron, I had to find a way to characterize market activity. All markets are two dimensional (time and price). Of the...
200% per-month isn't reasonable. I was making the case that a target of 200% per-year is a reasonable goal for a small trading account.
I'm not sure what you're saying nonense about. The numbers can be checked using any Monte Carlo sim. I don't think trading about once per-day with...
Might be a little easier to see in this screenshot.
I occassionally stop by, so I'm not totally off the net. While a average trader will undoubtedly lose money, an average profitable trader...
Optimal F by Ralph Vince is a good way to find the optimal geometric mean for trading. The real question I found is whether to trade size at the...
15% per-year for last 18 years before fees. worst year -2%. Since they only deal with institutions I can't find the fee structure.
Bridgewater with 70 - 80 bill. under management is the largest hedgefund I know of. Ray Dalio's approach is 100% automated. Here's a interview...
If someone tells me they're using x% in their mmgt, then I assume they're saying "my risk per trade is x%". Any other connotation such as I use 5%...
I just ran the numbers through a trade simulator. At 5% of portfolio risked per-trade and the win/loss stats given, the numbers are correct. To...
I took a look at your numbers in the beginning of the thread. From them you should be netting more than 175% per-month on average. You also have a...
Unless you have a logical reason for stopping trading such as, "you expect market conditions to become unfavorable for your trading method", there...
Consider this easy way to trade a trend. Place your second, third, etc. trades only after the previous trade has been moved to breakeven. That way...
In the past 8 years I haven't seen much change in the markets. However, my perspective has changed dramatically. I used to specialize in a few...
I'm sorry. I found posts from this site translated into other languages and lost faith in being able to control the information I wanted to post...
The formula I used for including std dev was sample = mean + (z* std dev) where z is the z score randomized and randomly positive or negative....
He's probably referring to the resets of subprime loans. The subprime reset mess will dry up in June/July with very little in the pipeline. Alt A...
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