If you don't have Howard Bandy's books you should consider buying them. Howard discusses means of performing statistical analysis on returns in...
There's usually a "yes but ...". Yes to what you just said but just because a system has worked for the past X years doesn't mean it will work...
LN = natural log (http://en.wikipedia.org/wiki/Natural_logarithm) In Excel, to get the natural log of 5,000 you would enter the formula =LN(5000)...
I ran MC analyses on sample sizes of 100 trades. In order to do that, I had to generate trade lists. In so doing, I had to make assumptions about...
Expected number of consecutive losses = LN(Number of trades)/-(LN((1 - Win Rate))) For a 60% win rate you would use 0.60 in this equation.
Alternatively, you could run a Monte Carlo analysis in which case you would find the returns are very similar but System B would have a higher...
I keep track of my trades by strategy. It can be a real eye opener to review trades in a journal when they are sorted by strategy. You will see...
That's why you have to monitor the system health of each of your trading systems. There are statistical processes for this and these processes...
That was the best post I have read on ET over the past number of months. Fred
DR Barton advised against trading TVIX only a few days ago. http://www.vantharp.com/Tharps-Thoughts/569_Mar_21_2012.htm <i>This is...
Just do a Google search for a comparison of 2007 and 2010 and you will find a number of reviews that determine 2010 to be faster. I find there is...
One way to deal with Bomb's criticisms would be for system designers to demonstrate that they are trading their own accounts using their trading...
C2 is a platform for trading system designers to post their trades. As far as I know, there is nothing on the site to suggest that the trading...
Of course a system can be changed. Trading systems on C2 aren't meant to be hard coded forever. Some systems are mechanical and there is nothing...
I'll second that. Fred
I think you missed fellow Canadian Jason Russell of Acorn Global Investments. http://www.acorn.ca
Abraham Trading is down 5.54% in June and down 5.51% YTD.
The Newedge CTA Index is down 1.66% for June and down 3.93% YTD. The IASG CTA Index is down 4.55% YTD.
No doubt. I realize Michael refers to Dunn over and over but his equity swings aren't my cup of tea. Then again, Dunn would tell me that I'm...
His returns aren't posted yet but the Newedge CTA Trend Sub-Index is down 6.22% YTD as of June 29.
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