When you build a portfolio like this think in terms of pairs trading. You may have a breakout strategy paired with a reversal strategy in the same...
Bonuses were allocated from my boss. Company had to make money or no bonus. Department had to make money or no bonus and the department would...
I doubt emotions have much to do with trading results unless you're gambling. If you have a strong emotional reaction to a series of wins or...
The easiest approach is to check the correlation of each of the strategies to one another. If a strategy is .5 or greater, keep the one with the...
No, we don't have direct access to the products. I wouldn't have tried to trade them anyway due to counterparty risk of the illiquid product. If...
I was naive. Back then I thought I could have a conversation with like minded traders. I was sent some screenshots of my posts from websites in...
The movie on Netflix, The Big Short was a nice example of edge trading. They spotted a structural flaw and positioned trades to take advantage of...
From what I read his reference to bootstrap testing is another name for Monte Carlo Testing. Looks like he took monthly returns; randomized them...
The tables only go up to 99% confidence level. The expected number of occurrences in a population of 100,000 trials with 10 losses is only .59....
ok, I'll try to explain it a little better. In the example given the z score is not relevant as you explained because there is no variability...
Three elements to this question. 1). What is the expected profit factor of the strategy? 2). How much pain in the form of drawdown are you willing...
1. In the example given, the average return would be 3.5% and the std dev would be approx. 1.29%. You're just measuring the amount of...
Well, I was up trading the DAX. As I sometimes do, I stopped by ET to check threads for ideas. I saw the thread with my name and checked it out. I...
I post infrequently due to a lack of control of my posts. On occasion I've posted something I wanted to pull but was told it's no longer my...
While the process of trading is a left-brained activity. The decision points for trading is a right-brained activity. Your ability to perceive is...
Try to identify the market conditions when your system works well and then screen for them. Today is either a trend day or reversal day. Either...
Quote from dtrader98: Any reason why you added one to the max losing streak S=12.16? If I run a very large simulation, it converges to an...
I guess what you're asking for is a formula for estimating drawdowns assuming a normal distribution of returns. You can estimate the probable...
In the example, 1500 is used for the wins and 1000 for the losses. In the real world we'll see a distribution of wins and losses such that the...
Here's the link for the streaks: http://www.elitetrader.com/vb/showthread.php?s=&postid=3186224#post3186224 The math is simply taking the...
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