Traders' Roundtable

Yep that thread was the other contender for my post. However, as my ratio will still show changes with changes in leverage, i could not claim that it is actually independent of leverage- i fear the replies in your thread are right- there is no leverage-independant goodness function. this gets you cl...

edit : this pic "sluggo's pic" is referenced a lot in this now newly split topic http://www.tradingblox.com/forum/files/1000words_451.png i have started employing a variation on MAR, that i feel is somewhat more representative of the actual growth vs pain relationship when varying leverage...

-Throw out all the fancy heat limiters and position reduction...hurts the smoothness, but being 10 times better off at the end of a decade makes up for a lot of jagged pixels. -Trade multiple entries types/systems, even though they are worse than "the single best entry". Got more bases cov...

Seems like when the rate of change in p/l is rapid a chandelier reacts quicker. Is there such a thing as a dynamic chandelier? Yes. Have a think about donchian channels. By fixing time sensitivity, they are dynamically sensitive to volatility. If you view the atr parameter of chandelier as more of ...

hmm, this thread was right under my nose. good ole klatt!

Yeah i was aware of DHP. Relativity (capital R) is already used as a common scientific term for something much more impressive, no need to confuse things. I didn't mention it because "parking lot" doesn't appeal to my aesthetics of nomenclature, yeah , typical Brit huh!. Besides it is just...

yes. you wrote that. yes. i agreed after reading it... yes. i had to fill out many superfluous lines of text to express that! :lol: it was worth highlighting 8) for one small paragraph in an entire thread of well written content, it was by far the most important thing of all. It should probably be b...

for the high traderate replies , one could ask: Whether the high trade rate is because you trade a few very active strategies, or many slower ones, do you feel that it real trading you can "feel" the benefits of all that activity? Consider your backtests irrelevant for the moment, the reas...

It could well be that i am merely getting hung up on semantics and that this goes nowhere, but let me lay this out anyway.... In a related thread I caught myself making a statement to the effect of: Less Things(i.e. timeseries,products,strats etc) allow for greater potential performance at the expen...

loving that hari seldon story AFJG. lmao! also loving jez's second post as much as his first- they highlight the relationships brilliantly and provide good meat for further discourse: if anything the new chart shows better the perils I am arguing- the potential adverse dV/dRho gets nutty for small p...

thanks for the votes, keep 'em coming.

actually screw my bullshit analogy, Jez Liberty's EXCELLENT post in this thread says it all just fine really. We know that over the long haul correlations of even combined equity curves tend to be about as stationary as speedy gonzalez on speed, bouncing around inside the large hadron collider. As s...

lol, thanks for the sarcy reply. i should have expected that i guess. I wonder if that is your equivalent to "you could take that to your trading tribe". :oops: problem is, this is my goddamn trading tribe!!!! :? ah well. 8) You'd probably want to exhibit a couple of real-world examples wh...

"I haev participate"

A Simple question, feel free to post in the thread to identify that you have answered the poll, or do not, and remain anonymous! The reason for the overlapping bins is because there is often a noticeable variance around the mean trade-rate, from one year to the next, so just pick the answer that bes...

i was wondering: does the use of root mean square measures(i.e. StDev) induce any parculiar effects when doing all these variance analysis for weightings? i.e. if we used a Rescaled MAD or AAD (median and average absolute deviations, respectively), would that be more sensible? I understand that Stde...

ah, i didn't say mom rule 1/2x was EQUIVALENT to MA rule x. I merely stated they are better correlated than mom rule x with ma rule x is(which is what these and other authors often use as comparisons). "You could spreadsheet this out and see it if you wanted." :wink: one way of looking at ...

I very much like that "anomaly" paper... interesting that the 9th decile is often better than the 10th. I noticed something similar when doing ranking on futures or currency returns- switching into the hottest thing was counterproductive- the "next hottest thing" usually then ove...

At dinner parties, it usually goes down better if i tell people i'm a professional paedophile instead of what i really do for a living....

rgd wrote: outputs like daily returns are stationary

lol.

correlations schmorrelations, i say. wrong tool for the wrong job. your instincts are better tbh. causal links between markets come and go. you know better than a stat tool when things are linked or not.