When you don't understand the topic of the thread and can only post platitudes and insults, then why do you post here at all? Not everyone...
Yes, that would indeed be the more correct formulation. But it would have generated less upset. :)
The number of trades is not reduced by adding an unprofitable strategy. It does not "filter out" signals. The reason why a 'bad' strategy can...
No, they are not. You probably mean the correlation between trade results, but this is normally not used in portfolio management. The algorithms...
The "spectacularly failing strategy" from the thread below is the trend system described in that book. Fortunately for the book, it was released...
Sharpe ratio, drawdown and profit factor can give information about the profitability of a strategy, but tell not much about its robustness. The...
Hmm, until now I thought things are normally too complicated for people that do not understand what's going on, not the other way around. Anyway,...
It is indeed so. Ralph Vince has analyzed the correlations of a collection of assets over time, and has found that in situations when prices...
I've read his latest work. He extends OptimalF to portfolio management by calculating the individual reinvestment factors as parameters in an...
I just noticed that my above calculation contains a slight mathematical error, which I leave to the attentive reader to detect :). It does not...
Thanks!
I fear you greatly overestimate my trading. In fact, so far I have never traded in my life. Only my PC trades. I guess that makes my...
No, it's ok to apply even an inaccurate risk model. You only should know its limitations and when to apply it and when not. Risk is the sum...
I give you a very simple example. Assume strategy A has 50% win rate, average win $200, average loss $100. Strategy B has also 50% win rate,...
sle: Understanding performance measurement and the role of risk is not very difficult, but still requires some basic math and statistics. I don't...
This thread seems to have some attraction for trolls. Nevertheless, another recommended book is "Portfolio Management" by Ralph Vince. He's...
There are two reasons to complicate and mix it up. Automated strategies can achieve maybe ~100% profit in a good year. But the same strategies...
Most optimized parameters in strategies are time dependent, f.i. the bar width, or a filter constant. At least in my strategies I did not find any...
The study is described in Kahneman's latest book "Thinking, fast and slow". The reason of the misunderstanding you've mentioned is that there...
Because it was Joe who sent me those PMs with the accusation of "advertising services". I have no blog or competing forum on my website, only...
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