Calculus- Useful in Systems?

Does anyone use calculus in developing strategies? Im thinking about relearning it, but Im not sure it will help in developing better systems.

 

Try the simple stuff first

 

Absolutely ridiculous amounts of calculus in my strategy. Start simple first though..

 

I don't use calculus in my strategy....and I think it's about as good as it gets for short term trading.

 

It's called momentum. Think about it.

 

You got me thinking

The difference between Close AND Close,-1 > than the difference between Close,-1 AND Close,-2, etc ..... could be a starting point to detect momentum, other than a pure thing like Close > Close,-1.

I'll skip the calculus and try that.

 

Search for this.. 'autocorrelation', it is useful, and there is none to be found at the daily level.

 

All you need to make money, is to correctly forecast the SIGN of the first derivative of price. This is so crude that the beautiful intricacies of calculus, its refined sophistications, are completely unnecessary. In fact they are misleading because they seduce you into spending your energies estimating unimportant frills and calculating irrelevant twiddles. Don't use a scalpel where you really need a sledgehammer. It's completely the wrong tool.

An example of a sledgehammer that makes money is: LAG. If you're a calculus guy (or worse, if you're a Z-transform guy), you know what this is. If you're a technical analysis systems trader, you refer to LAG by different names: Momentum (Close[0] - Close[N]), or Smoothing (MovingAverage), or ....

 

Of course, autocorrelation is all about lags.. but calculus is very useful in the calculation and prediction of volatility, which is very useful for risk analysis, and also helps predict the SIZE of that SIGN change.

 

Don't be drawn off the mark by this BS post.

Calculus (in the form of stats for non continuous functions) is THE PATH to take in the fork in the road leading to very high money velocity trading profits.

There is a time when a person switches from entry and exit thinking to how markets really work for making money. At that time and along side it you are well into second derivatives, etc. You will be looking at periodic functions in volume that are riding on carriers.

Calculus starts the ball rolling when you go from conventional indicator signals to the appropriate signal sets which are leaders in terms of price. Then you are on the trail of inflection points in periodic functions that derive out of the indicators.

Once you are trading in equities at money velocities over 5% a day, then you are spending effort scaling out of and and into multiple positions (think 100,000 share units) simultaneously. It is straight calculus derived decision making based on money velocity. For such a trading situation, the range of money left on the table in a day can approach a couple hundred thousand bucks per crossover.

You may as well, now, get used to thinking about what is ahead for you and get your mind built for the rest of your life.

There is one common demominator about trading to make money. It is done in a context of comparison of values of salient data and that comparison, without exception, is done in the absolute context of the passage of small amounts of time.

Just one sentence describes the essence of high money velocity trading.