maestro (btw a great name. it is like talking to someone standing on a podium ...) i sense where you are coming from. yet i think in...
actually it is the opposite with me, it adds to the unclear picture of what you are trying to bring across. if i have a trendFOLLOWING...
+ expectation is not a return/risk figure in my eyes.
TS i am on your side if we talk long short equity. portfolio construction there cannot ignore lending cost and leverage cost. when we traded...
i do not see too much of a contradiction to what i said. i just differ on the level at which choices are made. we currently backest very heavily...
the most important thing in system development these days is the use of human intelliegence in connection with a computer. by that i mean the...
it is the absolute same thing with profit factor. completely useless on a standalone basis. these figures come out of trader thinking. absolute...
dtrader i like when people quickly check stuff and come back. well done. but from my perspective the flaw starts earlier on, namely at the...
no easy decoding your post ... adding similar systems together leads exactly to what you describe. once you have systems that might be...
tough to figure out the route your sarcasm takes in this post of yours ... :) ... but there is something very important embedded: finding...
seems like you did your best already ... providing a paper. i guess we just have a semantic problem here. in the years on et i sensed that...
i call that stresscorrelation. you take two equity curves A and B. now calc their daily change, use logreturns, not percentages. now just take...
i think for edge testing and other alan-like-studies excel should do the job. most of his chartwork finally took place in tradestation. and...
MAESTRO you seem to have a special view on distributions. they can by smoother, more uniform, less fat tailed, spiking at the center. which all...
my margin utilisation is around 10% for my intraday trading. i highly doubt adding some leverage in order to keep absolute returns at the same...
whatever. take cointegration. the basic claim remain the same.
maestro, please reply to this (in whatever manner you find appropriate): "i have system A with a sharpe of 1. i have system B with a sharpe...
by the way, since maestro is wrong AND i am wrong ... ah, what is left? he answers the question: is corr important by no, my answer is: yes....
i am talking about a professional quantitative trading operation. you are talking about something different. and sorry to say this, you seem to...
some content: a portfolio of no correlated systems is better than a portfolio of correlated systems. instead of using normal correlation it...
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