Ok. I guess that only some simpler transformation will work when including state decision variables in the model. And if they have a heavily...
To me this is the most important question together with how to define the trading model you are going to optimize. The optimizer will make...
Interesting idea using Hurst exponents. I sometimes find the relationship between market state and the trading model a bit challenging. Should...
I my opinion this is valid for any selection/optimization process, even manual ones. To some degree this is what we are looking for - adapting a...
Even if I understand why they exist (easy to understand, apply and at least give some thinking about risk into the process) simple rules of thumb...
Interesting, but quite technical, paper. Haven't read all of it and I'm not sure I fully understand the things I've read, but doesn't he just...
Good to hear from you as well, I check your blog quite frequently. The post on MINE is bookmarked for later reading. No, it goes back to norse...
Yes, it is definitely so that defining the model is the trickiest part. I wish it wasn't so, so you could just throw technology at the problem. I...
We have done some work with CART like classifiers within non-trading applications. They are easy to use and you can easily understand the results,...
Generally I agree with this. Money management is important but it is inferior to having an edge. If you do not have an edge and participate in a...
Agreed. Maybe linear regression can be seen as a first order approximation. The only benefit is that you basically only estimate one parameter...
OK I agree. Have done some basic tests with this indciator and it gives good indication whether the market HAS been trending, at least my eyes...
Well, trend indicators needs some kind of window over which the trend is calculated. They just state that the trend estimate is calculated for the...
One problem with many of the methods commonly used to identify trends is that risk confuse trends with volatile markets. The method described in...
This discussion gives me the déjà vu feeling. It's been around ET more than once before. Selection bias is indeed not the same as curve...
With the same expected return in both cases then of course A. And yes, Aaron seems to always have good ideas. As a side note, we normally...
I understand your position but personally I'm more in the camp advocated by Aaron Brown (writer and contributor at NuclearPhynance) - risk...
I don't know the details about LTCM but wasn't their problem that they added to the positions (i.e. increased leverage) in drawdown believing more...
Yes, the Leverage Space Method makes the assumption that the future behavior of your system will be similar to the past, i.e. it use the past...
I definitely agree. Ralph Vince seems to be one of the few that has a theory for position sizing that is also useful in practice. I would also...
Separate names with a comma.