The first question you should ask yourself when entering any trade or investment is not "How much do I want to make?" but "How much am I prepared...
Yes, I was about to say the same thing. The obvious strategy is to find the pair with the highest bid-ask spread in real terms, and then apply the...
It's a worthwhile point Cesko, but one cannot ignore that 1. Japan was and still is a sort of military protectorate of the US and 2. China is an...
Interesting question - when I saw the title I assumed you might mean survivorship bias among *strategies* that you were backtesting. As for...
Thanks NoiseTrader. An interesting paradigm.
But Steve, surely your criticism is not to the point, since Raystonn is accusing the authors of optimisation. On that point the R2 statistic would...
Based on my own backtesting efforts, I would concur more or less 100% with Aaron's post above. Strategies of this type do indeed seem to profit...
Beautiful idea :) I have some experience with nonlinear optimization, so it's easy for me to understand what you're talking about. Maybe I saw...
Thanks for the references and details. Interesting stuff. But I'm not sure I buy the argument as to stdev being more pessimistic and therefore...
Yes, I understand it's still not easy to imagine infinite variance. The problem is that the market is not solid like a metal rod in a science...
[in case it helps anyone on this: ] If you want to understand how infinite variance is possible, you first have to make sure you are clear...
Very good point, thank you for mentioning it. Sorry I didn't notice your post before. I'm going to go and update my backtesting code now :)
Yes, I understood this. My previous posts were a reply to pepper john, who said the opposite. But then back to my original question - why do...
I'm just saying that in my experience, setting stops to "cut out" the part of the distribution where a lot of losses are, often doesn't work at...
I'm sorry, I don't understand, please explain in more detail? Which peak is the second peak? And to be clear, are we looking at a histogram of...
I agree with this both empirically (have observed it often) and philosophically (imposing a target price on the market has no value *to the...
Just a thought, I'm no expert on these things - but how about Uranium?
As an answer to the original question in this thread, I would suggest looking into the Hurst exponent. Trendiness would be indicated by values...
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