My opinion is that "we do what we can." Backtesting will always be somewhat problematic but what is the alternative? Knowledge is simply...
Parts of this have already been done: http://www.gloriosia.com/
BigIrishSlim - If you are going to use Yahoo data please check out HQuotes Downloader. www.hquotes.com It allows you to download thousands of...
If you are interested run a search on my name and Roger's. It should bring up some web links to an excellent TV documentary broadcast in the...
Dude, what's worse is that these are trade endpoints right? Like trade 1000 made $200 so I'll just tack $200 onto the equity at point 999...
Toe answered this for me when he said: "Your chart seems to indicate that you have have allowed for each trade as though it were an individual...
Funky, I think you need to check out your outputs, especially your equity curve. Specifically why does the 6 month test have 1321 data points...
progers, I agree certain stats make this system look like a winner. However I would try to de-leverage whatever your position sizing logic is so...
melo said "I believe that most people involved in researching and selecting hedge fund managers will tell you that the quant part of the d/d...
Guys aren't we just talking about the Sharpe Ratio here? A question was raised about variable dollar profit amounts caused by rollover of...
Very nicely put prophet :)
Yes your way seems more complete. Thank you for that explanation. I'll have to revise my methods to be more accurate. Not to take this off...
Acrary, thank you as always for contributing to our education as traders. You are a beacon of light in the fog. I noticed that correlations...
axeman, I am curious if you could boost your system performance by doing an MAE study on these trades and not enter until your average loss point...
Taleb hasn't always been opposed to Neiderhoffer. See this post from 1997:...
Merco, please enlighten us to the real situation if you care to.
http://www.elitetrader.com/vb/showthread.php?s=&postid=325460&highlight=prop#post325460 Acrary strikes again. Even in his temporary absence he...
Darkhorse, I've heard that this swift downturn was due to political uncertainty too. I've heard some unsavory things about Mrs. Sonia Gandhi, or...
This http://moneycentral.msn.com/content/P80508.asp and this http://www.validea.com/home/home.asp may be of interest to you.
I for one enjoyed your post as it was quite a history lesson for me. Thank you for posting it. It is unfortunate that everyone has come out of...
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