Ok, good post.
Yes, but when? How can you tell it is ready to go back to zero?
There was something on pg 4-5 about analysing/predicting the residuals here:...
How does ArbMaker analyse/forecast the "residuals" since they are random/normally distributed? It is generally mean reverting but how do you...
To understand why NN might not work, look at this first http://www.elitetrader.com/vb/showthread.php?s=&threadid=240936
This trader performance seems more stable than the rest. http://championship.mql5.com/2011/en/users/Pirat/reports
Maybe someone good in math can summarise the contents of the links to papers here: http://www.physicsforums.com/showthread.php?t=556392...
Maybe can apply parrondo concept in hedging a system buysell signal and making it profitable overall by varying the size of opposing sides trades....
Thanks for the info. Here's some interesting reading material http://www.forexfactory.com/showthread.php?t=275566...
+1...but how to determine how much?
I mean express edge in terms of C,X & U of the inequality equation above, and then setting it >0,..., what does it all mean?
Is prob(intradaybil)=1-prob(kut2k2) or is it possible they co-exist as prob(trader666)?:p
Sounds like Quantum Physics stuff...Is prob(rich)=1-prob(ruin)? Or perhaps you can be both ruin & super rich at the same time...Parallel universe...
Maybe used wheeling to generate many $1tickets...Need 3 brains to come out with a no. selection system...what method did they use for no....
Setting RoR = ((1-edge)/(1+edge))^((C-X)/U)<1, What is the edge requirement expression?
Say I am interested in q/p ratio to be profitable, Set (q/p)^(C-X)<1, => q/p < InverseLog(Log1/(C-X)) Is this requirement correct?
Ok, express this mathematically for any instantaneous B,bankroll, b,bet size, p-q & risk/reward ratio. i.e. When is prob(rich) at least =...
On what? Prob(infinitely rich) overtaking prob(ruin)? :p
The path to ruin is easier. It takes 100% effort just to bring a 50% loss in capital back to breakeven. Dow index takes the escalator up but...
You got it...The point is to find a mathematical expression of this finite prob. When is this prob(streak of losses just enough to ruin its...
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