The problem is not the sharpe ratio. The problem is this will not work with commission and slippage. It will consistently lose. I can almost...
Just came across this 2009 paper on sharpe ratios of traders: it seems to prove that it is possible to beat the market and that trading experience...
How about this idea: as consumer and business spending took a nose dive in the last 4 years, industries that used to support oligopolies now don't...
This seems to be a direct response to Einstein's "God does not play dice"
Okay, I forgot to mention: it not only has to be losing big time, it has to be losing more than the expected commission and slippage in the...
Okay, on a more serious note, may be one way to check the OP's proposition is to simply run the losing algorithm without commission and slippage....
This strategy is similar to but probably better than regularly buying lottery tickets. Chances of hitting the jack pot is extremely low, but if...
Two more things that may or may not have been touched in this thread. First is the fact that if you are back testing, then day trading will give...
Yes agreed, it's population -> GDP -> stock market GDP is made up of producing and consuming. Every new person on this earth is guaranteed...
That may be the case, I am no expert here. But I think it remains true that it is exceedingly difficult to prove statistical significance of a...
Okay, let's change the experiment. You put 1,000,000 monkeys in front of trading screens for 5 years. Then rank order by average annual PL. Those...
Or it could be that all successful traders just got lucky for a while and the smart ones quit while they were making money while the rest lost it...
Not stopping, just pacing myself. I've been beating my head against a brick wall for a month. need to refuel then will take the hill.
I've had similar experiences -- hoping it's going to be that way this time as well.
I think you nailed my sentiment. Good analysis. I always remind myself of the "infinite power of editing" when I write code AND manuscripts to try...
thanks all for the words of encouragement and discouragement (for the latter, I mean you two hatetherisk and shopster, LOL). yes one year is...
my problem is simple: the stats are still not good enough for me to be comfortable going live. I am close though and I have been steadily...
absolutely correct -- that's why I let the algorithm trade for me.
I have spent a year building strategies, and I have come a long way since the beginning. I have built a complete ATS from scratch for TWS, and a...
If you have a positive expectation but large draw downs, then money management can indeed save you from blowing up during those draw downs. If...
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