The payoff profile approximates the probability distribution of the strategy. But it's not the true one. If we had the true one we could infer an equivalent distribution solely defined by some winrate and some RR to asset the risk and expectations. ...

FXEZ's Quantitative Research In R

I thought the name was "leverage decay". Yes the correlation of a portfolio of strategies is very important to know but the whole portfolio can be regarded as a high level strategy and the conclusion doesn't change. The payoff profile will converge ...

FXEZ's Quantitative Research In R

Or stated differently what are the practical implication of this? Does it give an edge? Let me answer the second question first: NO (not yet at least...) Thus far we all implicitly assumed that the edge pre-exists. We saw that without an edge there ...

FXEZ's Quantitative Research In R

If you flip a fair coin... Let's say head you win 1 and tail you lose 1. We can also say your gain is either 1 or -1. You can draw this probability distribution: image What is the probability of your gain after playing twice? Flips are ...

FXEZ's Quantitative Research In R

Sorry that was obvious to me. You start with some money. That's 1 time your account size. If you lose 1% of your account you lose 0.01 time your account. It remains 0.99 time your account. This loss has multiplied your account by a factor 0.99. Same ...

FXEZ's Quantitative Research In R

Bernoulli trials are certainly not perfect representatives of market trading activity but they are analytically tractable. We can plot the envelope of all the possible random "equities" within 3 standards deviations simply knowing the winrate and ...

FXEZ's Quantitative Research In R

Whatever the money you bet it always represents some percentage of your equity. Let's be this fraction x, x∈[0, 1]. With a RR=1 the account either grows by a factor 1+x or shrinks by a factor 1-x. If x is kept for each trade, you get the fixed ...

FXEZ's Quantitative Research In R

Thank you for criticizing after 3 seconds a document you obviously don't undestand. I'm not a native English speaker. Perhaps I couldn't write in a way to convey the ideas correctly. There is no such assumption about the probability being "the same ...

Expectancy Management

I can indeed not calculate exactly this specific case. More than the strategy I would need a good model of the market. If we had this trading would be easy! In the text, the SL, TP and PP are not necessarily predefined. They can be regarded as ...

Expectancy Management

Here are the cumulative sums. Interesting indeed to see that the first two stay negative for quite a long time... The very long term movement is not perfectly captured by the purple filter. But it is a decade long cycle! image

Quant basket trader? I need your help!

When you search for mean reversion on google you always find a reference to the Ornstein-Uhlenbeck process (or the Vasicek model in finance). You'll also find reference to the discrete equivalent AR(1) autoregressive process. The Ornstein-Uhlenbeck ...

Quant basket trader? I need your help!

Cell A18: url Leverage = 1:4200000000 Seriously???

It's a one time thing

EMA is a IIR filter ( url ). It needs to reach steady state before its outout is valid. Try using much more than the period of the average. Like 200 periods before. Do the same for the RSI. Of course for the "by hand" part that may take some time...

Calculating EMA/RSI by hand

This is not a quote of mine. That's whateveridon's ( url )

Quantitative and Algorithmic Trading

[quote=whateveridon;9231372] A huge company's CFO in Asia shall seal a multi-billion deal with a foreing partner. That's Asian session time and liquidity is poor. He calls his bank to convert big money. His order makes the market move just a few ...

Quantitative and Algorithmic Trading

[quote=whateveridon;9230650] The word intelligence comes from the latin intellegere which means to comprehend/understand. This is not the faculty to solve a problem but to understand why the problem is interesting to be solved. If you had absolute ...

Quantitative and Algorithmic Trading

I would happily accept dual side betting! You don't care if the bulls and bears are two people or the same player. There is no risk for the house. It pockets the spread twice. With no edge you have 50% chance winning. A rational gambler bets ...

Just a brokerage idea!

What if three traders meet. Two of them bet above and the last one bets below? How do you distribute the gains? What if they all the three bet below? That's not a faire game! To make it fair you have to take the bets as a bookmaker. That's just ...

Just a brokerage idea!

It would be nice to see the same backtest with EMA 10/19 close, or better EMA 9.5/18.5 if your backtesting plateform accept it. Why? Because the mid price is a filter in itself and it adds half a bar of lag. This could show if the additional ...

Using the Mid-point calculation for technical indicators

The blue line exhibits an awful phase distortion, visible at the end of the chart, and the red line is clearly non causal as it can be seen at the low of the 2nd of June (i.e. it repaints). Same thing for the oscillator. Is it just me or a scent of ...

Digital Indicators of Adaptive Trend & Cycle Following Method