I am looking at this question right now - applying my futures method to stocks. I suspect that is does work for the higher beta stocks. Time will...
Good point. I know entire arcades of old school tape readers that are long gone. What I do relies on people overpaying or underselling for assets...
I fully agree with that rajesheck. And the best thing is that hope springs eternal - new players just keep on coming into the market.
Interesting post - I have an issue with three of your points: 2) - You need multiiple systems to diversify returns and smooth out drawdowns 3) -...
Good morning. Holding period on average 2,4 hours, win rate 74.8 % Profit factor 2.17 ES EuroStoxx FTSE Russell Nasdaq - strategy is the...
Hi IAS_LLC In your previous post I understood your "Isn't looking for the entries with a higher expected profit a form of optimization" to mean...
It has been a long road that has culminated into some hard hitting truths. First of all the equity curve of five systems in the portfolio (at this...
syswizard - I did just what you suggest - and discovered that my discretionary skills are near zero. Made it an easy choice.
Thanks for the question. In the case of the strategy I trade I have always used the same entry point and have never looked at changing that to...
Aha - great questions. Optimization? NEVER. Not for strategy formulation, or tuning a group of strategies into a portfolio. All it does is make...
I thought it made sense to open a thread where I can try to answer those burning questions about Automated Trading / Financial Math. Particularly...
What is the win rate and average profit/average loss ratio? Regards
:-) well not a bad place to start.... a few market swings and interest rate cycles included since then. Nice low vol stretch from 04 to 06. Do a...
Hi there Xela - perhaps I need to clarify.... if you conduct a runs test for randomness on your trades you will find out if they are random or...
Excellent post - I am sure there are traders out there that can trade very profitably in a non-statistically driven environment. Personally I just...
One good method is to know the historical drawdowns of your system/portfolio and increase your size when you hit a certain drawdown percentage. In...
Well you need decent latency to do that consistently. My game is not latency dependent at all.I use a decent random number generator, with a...
yes increasing your trade timeframe helps - but the same issue of NBBO liquidity has to be dealt with by breaking up your order in a smart way....
A system meaning a set of rules applied to one asset class... low correlation around 0.5-0.7 - you are probably as well diversified as it gets...
No single system works in all market conditions right? So whats surprising is how few automated traders build up a portfolio of non-correlated...
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