Trading Math - Part I

Discussion in 'Strategy Building' started by intradaybill, Nov 1, 2011.

  1. I didnt say, that trend following systems must be bad.
    Of course there are very good ones.
    I have made some on my own.
    But, how i told you, i decided for me - i dont like it.
    because i make more money, with doing more trades instead of 1 or 2.

    That is because i am not a very patient guy.
    I just cant wait all the time until price makes that long moves, while watching all the other trade oppurtunities go away without me.

    Wish you the best.

    regards:)
     
    #151     Nov 8, 2011
  2. When it comes to HFT it's all about getting between the bid and ask still, so unless you've got an in with a market making firm you might be overtrading even if you are profitable with or without automation.
     
    #152     Nov 8, 2011
  3. I dont call my trading High Frequency Trading, not at all.
    I am not a scalper or a short term daytrader.
    I am a long term daytrader and a short term + long term swing trader.

    I do never overtrade.

    It is all only in view of the trader.

    What might be overtrading (taking too much risk) for the one person is a standard for another person.

    I have said it a thousand times here, you can not compare two systems of different traders. Everyone have his/her own definition.

    cheers:)
     
    #153     Nov 8, 2011
  4. I started to write, the I erased and rewrote because I couldn't be concise, so I'll just say that

    1) the spread needs to be formalized because this will have a huge impact on the system-- e.g. the market moves to zero before we can act.

    2) The example can be made more interesting by having more trading systems on other markets. (we can start with independent markets)

    3) The "trading system" by definition of having a positive expectancy, will be at least some function of the underlying data generating process, but in any case the example is a function of at least two random processes, the market M and the trading system X.



    P.S. I recently read an article recently on the flaw of the solution for the St. Petersburg Paradox. The authors "corrected solution" was the same, but the reasoning was different.

     
    #154     Nov 10, 2011