Interesting point: the max drawdown distribution in that example I posted is NOT gaussian. Looks like poisson. If any stat gods out there could...
The program is freely available in the files section of the AustinTraders Yahoo group. You have to download all nine data files (1MB each) plus...
a-ha moment: Any probability distribution of trades (gaussian or not) will yield a gaussian distribution of results after N trades, as long as...
Seems like you'd need a lot less trades than 120 with MC, but that depends on the distribution of trades itself. Hey, I guess that's one...
Also a message to newbs: I hope you can now see some of the things you need to do to make money. You can't just use the latest gizmo from your...
here's the picture
Our time scales are different. For the edges I can find I get something like 5-10 day trades per month in a market. So I backtest the previous 6...
Suppose you backtest something for the NQ and the distribution of results is: -10 NQ points / 5 times -5 / 1 -2 / 15 -0.5 / 15 +1 / 5 4 /...
A proposal for Eric and anyone else wishing to participate: I think it would be VERY interesting and instructive to compare when the Gaussian...
The backtesting critereon is this: the distribution of entries has to kick random's ass, not just beat random. I construct a scatter plot of...
When you are comparing two distributions, the more different they are, the less samples you need to find out they are different. So the answer to...
Eric, what I do is monte-carlo the trade distribution that I get from testing. If I do as poorly as the bottom 10% then I start to question the...
I don't know about any of the firms here, sorry. Reminder for everyone: We're meeting at Flipnotics today, 1601 Barton Springs Road, 3pm....
Hello Austin Traders! Come and chat informally on Saturday, Feb. 19th, 3pm, at Flipnotics Cafe, 1601 Barton Springs Road. They have a...
Once after I reported a string of losses on these boards, Banjo was kind enough to ask the question: "Do you have a lousy employer (i.e. trading...
Question for you: do you have the means to stay in one of those rare trades that rolls like a runaway train in your direction? Or are you...
We are not disagreeing. You have just mentioned a specific case of trading the long term trend in stocks. In this case, with an estimate of the...
I guess what you are saying is: you can get bigger and bigger, while maintaining a zero-risk position if you add. This way, you can potentially...
Roger that. Here's what I'm thinking about now: (0) You can think of adding/subtracting as separate entries. (1) Why would you want to add?...
Thanks OddTrader. That Kaufman book looks very interesting (you can see the TOC on Amazon). It did not seem to attack position sizing as a...
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