jj - The return of buying anything at 5 and selling it later at 34 is not 192% - it's always almost 600%. Nat logs have nothing to do with the calculation nor does being a daytrader vs. a position trader. In your example, buying something at 5 and selling it at 10 and then buying it at 10 and selling it at 5. Your return is not (100%-50%)/2 = 25% it's ((10-5)+(5-10))/(5+10)/2=0% (i.e., ((total profit)/(total at risk))/(# of trades))
Hi jj, I'd like to know more about your system. Is it the same as a bollinger band with length at 8 days and standard dev set at 1x (default is 20 days, 2x std.dev)? Standard deviation of what? - 8 days of closing price? Historical average of what? - the standard deviation of the past 8 days? Here's a mechanical system for the QQQ - http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/editsystem?id=3812 Just type QQQ in the stock symbol box and press "Execute Chartscript' Thanks, pretzel
When time is involved, as it logically should be, natural logs have a tendency of creeping into these type of calculations.
AA; my point exactly, that's why I use log normal returns. Pretzel: I use the 8 day standard deviation of the daily price changes, based on opening price. Example: If in the past 8 days the daily standard deviation was .16 and the historical average is .145, I would be looking to sell. I would be looking to buy when the market becomes less volatile than normal, <.145. I looked at the Wealth Lab site and that program looks interesting. As I'm not familiar with their language, what is the exhaustion program's theory? Thanks : jj
Maybe I missed it, but I'd still like to know how you are determining your exit of each trade. Is it mechanical or intuitive or voodoo ?
What do you consider "advanced mathematics"? Anything that contains the words "standard deviation"? or "average"?