sorry if i'm misunderstanding, but do you feel that stops would help prevent this? i have no numbers to back this up (and so i ask this out of...
Talon- really appreciate you taking out time to share some thoughts - as always your insights are highly valued. As you've stated, its a tricky...
Hey Mike- was hoping you'd see this. Great post...I knew from reading some of you prior comments in the 'coin flip' thread that you had conquered...
For those of you who followed Talon's thread, toward the end there was some interest in risk management. I thought I might try to start a thread...
Thanks for the journal Lescor - good read. Any limits on the % of capital you'll allocate to a given strategy? Or with the amount of leverage...
Talon- If you decide that you're up for it, I think a decent number of people expressed interest in the risk management topic earlier in the...
Yes thats correct
Thanks for that Mike. While I know process is what we're working on and is most important, its nice to have some benchmarks from those who are...
No just regular R. I intended to learn through RExcel since thats where I feel most at home, but after a few minutes I decided that approach...
Actually, based on the test i think we'd have to reject normality here with that small p-value. Didn't have a chance to look at improvements...
I'm new to R but gave this a shot...basically just tried to recreate one of Talon's sheets from BoWo's thread. Let me know if there are other...
Yes. No, but I don't think it will impact results (apologize if thats idiotic to say - i never look at futures). I have it set with 0...
Here's a first cut at some results for the baseline rules. I've included both ES and SPY (look very close based on a quick glance). Results are...
I guess so...if you're into that more efficient, easy to follow, less error prone style of coding:). thanks slowBear, was thinking there must be...
Start with something simple like this? Buy when Indicator > 90th percentile over last 500 periods Short when Indicator < 10th percentile...
Amibroker code: Vol_0 = (H - L)^2; Vol_1 = (Ref(H,-1) - Ref(L,-1))^2; Vol_2 = (Ref(H,-2) - Ref(L,-2))^2; Vol_3 = (Ref(H,-3) - Ref(L,-3))^2;...
Mike, I think a little confusion remains because the indicator is being called a "clustering" indicator but it doesn't appear to measure that...
Talon- Once these minimums are met, how do you compare the "quality" of two tendencies? For example, say we're analyzing two events - Event1...
Mike- Thanks again for your efforts here. Any chance we could see that indicator in excel or a psuedo code explanation? Hate to ask for more, but...
While the basics are being addressed, I wanted to ask one additional question regarding data quality. I've spent the last two weeks questioning...
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