What I would need to know:
-How many trades
-Distribution of returns within each bar
-Temporal stability of the distribution within each bar
-Distribution of returns in underlying asset
-Price time series of underlying asset (if only one)
Search found 4 matches
- Mon Sep 20, 2004 4:16 pm
- Forum: Testing and Simulation
- Topic: Robust Optimization
- Replies: 26
- Views: 26604
- Tue Sep 14, 2004 10:36 am
- Forum: Stocks
- Topic: Yahoo finance data
- Replies: 6
- Views: 9692
- Tue Aug 10, 2004 8:34 pm
- Forum: Testing and Simulation
- Topic: Ideal Timing for Large Lump Sum Investment
- Replies: 8
- Views: 7880
- Wed May 12, 2004 4:19 am
- Forum: Money Management
- Topic: Ryan Jones' Money Management
- Replies: 33
- Views: 46016
Criticisms: 1. Equal number of contracts: The proportions of different types of contracts that is appropriate to trade may be found through optimization (not strictly by solving from historic data, because this over allocates to historically good curves, and underallocates to poor curves-but by doin...