yes, but you said "uncorrelated" in your original post.
Mean and variances add for uncorrelated RVs. I don't see how -10% added to +40% will improve the results if they are completely uncorrelated: It...
Why are you plotting this using discrete bins? Why not just plot the indicator versus next day return, and tell us the correlation coefficient?...
Still couldn't avoid the huge drop PL in the fall of 2008...
What I meant by "signal" is the useful information in the data as opposed to the noise. What I meant by long term signal is this: a finite support...
Simple answer: non-stationarity. The training data does not contain all information. It is also a form of overfitting. Your model thinks that all...
You mean second or higher order filters work, I guess. First order low pass = exponential moving average. So you are saying that going from first...
By the way, how did that C# mentorship go? Did you find someone and did that person complete the project? Thanks.
Actually that is sort of what I meant -- not so much for trading (day or swing) but more for balancing risk in a long-term portfolio of assets. My...
I could be wrong but I think he means risk management in longer-term asset allocation strategies. I have a neighbor who does this type of work in...
Depending on how you look at it, I think capitalizing on people's "laziness" is not immoral. If your software tool does exactly what you advertise...
I think selling tools (not trading algorithms) makes some sense if your trading profits are in the low 6 figures. It lets one diversify higher...
If anything the US is headed toward extreme right wing conservatism. What used to be centrist ideas are now declared socialism or even communism....
I think it boils down to timescales of impact to the economy. When you invent a new technology, or build a bridge or airport, you as the...
what I don't get is who is drinking OJ made from concentrate anyway? All you can find in stores are "not from concentrate".
To me this assumption may be the sticking point: "We assume that on the time scale of interest, the price is driftless, and write ..."...
Sure you can, it's called being informed and voting accordingly.
If I am told that making 10 million a year will lead to a 40% tax rate, whereas making 2 million will be 35%, I will still work hard to try to...
I am no socialist but would be fine with the Clinton tax rates. That would at least help fill the deficit hole we are in. In general, I think that...
You are right it has been repeatedly shown by economists that the laffer curve effect only happens at > 80% tax rate. Anything below that and...
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