a trading problem for mathematicians

Discussion in 'Trading' started by trend2009, Jun 15, 2011.


  1. You have two uncorrelated methods and you want to determine what will happen when they both agree?

    First you might want to start by finding how often they agree.
     
    #21     Jun 15, 2011
  2. noddyboy

    noddyboy

    My assumptions are:
    Market goes up or down 1 unit.
    Your system have a equal likelihood of giving an up or an down signal.
     
    #22     Jun 15, 2011
  3. Half that
     
    #23     Jun 15, 2011
  4. kut2k2

    kut2k2

    36% ( .6 x .6 = .36 ).

    "The signal must be agreed by the two methods at the same time"

    Amazing how many people here didn't read the OP.
     
    #24     Jun 15, 2011
  5. One thing for sure over 98% of the people here have no clue what you are talking about! Including me. Any example?
     
    #25     Jun 15, 2011
  6. Is it like your RSI is one 0.60 and the MACD is another 0.60 and you trade when both agree on a signal?
     
    #26     Jun 15, 2011
  7. correct. though RSI and MACD are not good example since they are somewhat correlated.


     
    #27     Jun 15, 2011
  8. That's not what the original post said, it says:

    So, are you looking for the winning rate of two methods with zero correlation and you want to know the win rate when they both agree?

    What if they never agree?

    And, you aren't willing to tell how often they agree?

    Or do you know?
     
    #28     Jun 15, 2011
  9. This is fascinating!...I am subscribing! ☺

    ES
     
    #29     Jun 15, 2011
  10. One could run a Monte Carlo simulation to find out. I am not sure there is a simple analytical solution. But the simulation is not plain vanilla since you have to care about two processes behing uncorellated. Unfortunately I am way to busy and lazy to do it.
     
    #30     Jun 15, 2011