Kelly's formula is Maximum Risk = account * (winrate * (1 + RR) - 1) / RR Note 1: This is a MAXIMUM not a recommendation. That's why broketrader divides the result by some factor, usually 3 or 4. Note 2: This formula is pretty much useless in real ...

How much would you risk on a 90% trading system

It is just a rewriting of the well known simplified Kelly criterion url

How much would you risk on a 90% trading system

If you can code in java have a look at JForex SDK url Their API is straightforward and only requires a demo account to be used. The bandwidth is really good (+200K ticks per second). Beware, ticks and 1min data have bad ticks especially in the ...

Dukascopy historic data

I've built a zig zag indicator which generates statistically meaningful swings. Grouping these zigs and zags is the next step to build the usual TA patterns. They can also be used to build not so usual patterns like the beastiary of the harmonics or ...

Quantitative Technical Analysis

url A 795 page book free to download about DSP:nerd:

Can statistical methods be used to create a trading strategy?

This is correct but I didn't want to add the variance into the formula to keep the thing simple at least for a start.

Alternative Reward to Risk Ratio for Trading System Statistics

OK. You clearly don't understand the explanation. The trivial loser is absolutely NOT included in anything. BTW it's not a martingale either. That was just a trivial loser used as a trival example to trivially break the ROI/DDmax measure. You also ...

Alternative Reward to Risk Ratio for Trading System Statistics

I don't have a ready made formula but let's try to build one. First let's reject RoI/DDmax. Imagine a system which target 1 pip profit with a huge stop. After that it stops trading forever. This system is edgeless yet its winrate is extremely high. ...

Alternative Reward to Risk Ratio for Trading System Statistics

Very interesting indicator. It looks like a median filter but without the lag. From the screenshot I think I understand how the white line is updated. But how do you get the width of the channel? Is it based on an estimation of the variance around ...

Quantitative Technical Analysis

Did you try to graph the real part and imaginary part or the magnitude and the argument separately? This is what I do in the second picture of the first post where the blue line is the period (the theta angle of the complex) and the green line is ...

Cycle measurement: the easy way

The smooth component is the trend, per definition. I mean my definition. It does not lag. You just cannot estimate it without intruducing lag. This is why I use a Kalman filter to get a best estimate of this hidden component. This estimate does lag ...

Quantitative Technical Analysis

This is a comparison between the previous pivot detector and another ZigZag-like indicator I wrote (mine is not repainting and uses no parameters!). Here the dotted black lines mark the price and time of the detection. Both are quite often in ...

Quantitative Technical Analysis

Yes of course it is a good idea to work at the currency level and pair the two opposite in strength. But you just replaced EUR/USD with some index of EUR. How to quantitatively estimate the trend of this index? Not to answer "is EUR strong?" but ...

Quantitative Technical Analysis

How are those last two posts related to the thread's topic?

Quantitative Technical Analysis

I've coded my idea. The black dots are drawn at the price of the extreme and at the time of the detection. image EDIT: Note the last pullback/congestion has not been matched.

Quantitative Technical Analysis

Please just stop! This thread is NOT about building a holy grail, not about any trading system, not even about opening a single trade. It is about patterns matching and artifical intelligence used to quantify the construction of the usual TA ...

Quantitative Technical Analysis

Thanks for posting this paper. This is an example of what I consider a questionnable definition. The authors don't explain the reason why they used a 120 day window. They don't explain why a 10x10 grid is used instead of 9x13 for example. They don't ...

Quantitative Technical Analysis

OK Let me try to keep this on track before it drifts to the outspace... For now I want to bracket the PA inside a trend channel. How to draw this channel? The usual answer is: "by linking the highs/the lows". But what is a high (low)? If I take two ...

Quantitative Technical Analysis

I'm interested in reading those papers, especially to know how they define the trendlines and patterns like H&S. I read some papers like this and their definition of the patterns were very questionnable.

Quantitative Technical Analysis

Your link must be the wrong one because it is totally irrelevant to the topic of this thread.

Quantitative Technical Analysis