I usually do MC simulation on my backtesting results. So I don't use normal distributions (or any other distribution) but values from my...
Ahhh. I got it. Thanx for enlightening me :) Dierk
Interesting post again, acrary ... I just tried to find out if this result is statistical significant. Unfortunately I couldn't find an...
Thanx for sharing ... :) Dierk
Hmmm, I would state: Only take roll-forward results, never take in-sample for "real".
Interesting, I'm always looking for methods to messure ... How did you calculate trendiness and volatility ? What did you use ?
Filtering "bad" ticks has two aspects: - cleaning historical data for backtesting - filtering incoming ticks for realtime trading I...
Could you please elaborate on this issue? What are your experiences about quality of known data providers (.e.g. Trackdata) ? Your comments...
Hi, Programming language discussions are always quite lengthy ... But let me tell you this: After ~15 years of experience in programming...
@harrytrader I appreciated your in-depth post much. Let me please ask some questions: Thanx for your explanation. I understand the basics of...
Easy guys, please ... See, I'm a real freshman concerning trading. So I appretiate any comment related to this topic. I understand, that...
@acrary Great post, I enjoyed it. Some comments ... I'm not mathematician, but I've read: The "Central Limit Theorem" states, that increasing...
Thanx for all your replies. I like "extended backtesting is mental masturbation ..." most :-) I have to admit that I'm a bloody newbie, so my...
Thanx for your comment. "Convoluted", yeah right, nice term. Since I'm not english native speacker I had to look it up in the dictionary ......
Ahh, now I got your. Sorry for the delay :) Try this: You have ~ 20 years. (1 + p(t)) = (1 + p(1))*(1 + p(2))*(1 + p(3))* .... (1 +...
Hmmm. I probably did miss the point, but since you not (!!) compounding, why not simply take 100% per year ? Dierk
Hi, I'm currently reading the book Katz/McCormick "The Encyclopedia of Trading Strategies" which brought me back to one of my main concerns:...
Quite a bit late, but anyhow ... I would calculate annual profit a follows: 2002-12-31 - 2001-04-11 = 629 days daily return = power(1-...
:D Yeah I did and was quite impressed. It's seems to be a quite intriguing concept to me, so I put the above question here to see if there are...
Interesting point ... How do you monitor your systems ? Do you perform some sort of hypothesis tests and e.g. stop trading a system when the...
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