I know no way to prove a trading system is profitable. But there are systems which can be proven wrong i.e. long term losers. Some times BT will disprove a system quickly. Some times the BT won't be able to break the system. We only get a ...

How many trades until a system is proven, not just lucky?

Of course it is only possible in backtest. But I did such a BT to try and explain those fools why and how they can only fail: url Note: After this post the trade explorer stopped being updated after the account blow up. Exactly like expected and ...

How many trades until a system is proven, not just lucky?

This guy shows that hammers/pinbar are usually a... continuation pattern! (just another lower low) url

why have you accepted the price-predictability assumption?

How can you determine that the setup you're seeing right now is a "high quality trade"? I've posted examples which show that the market is extremely close to a coin flipping game. Can you increase the knowlegde about this setup to bet more? This is ...

why have you accepted the price-predictability assumption?

My first thought would be that he would risk 14% DD each day. Now he's aiming at the million... If the guy has 80% chance of reaching his goal of 5 winning trades his winrate per trade is p^5=0.8 => p=95.6%... I'd like to meet a trader with such a ...

why have you accepted the price-predictability assumption?

Oh thank you Mr! Now I have to purchase MATLAB to cook an egg. Grr (But the heat diffusion process and the trading aren't that far from each other...)

why have you accepted the price-predictability assumption?

Oopps!

Profitable hedging strategies?

What is the probability that a A++ super elite guru trader can turn $1000 into a million in a year? He has ~240 sessions to play for this year. Each and every single day is (must be) a 2% winner. If the probability is P for each day, the probability ...

why have you accepted the price-predictability assumption?

Sorry for the naive question but I don't use MT4. Does the simultaor of MT4 correctly simulates the margin requirement? A quick visual inspection of the graph around the 20th trade shows a DD of more or less 85%. I suspect that MT4 is buggy. Could ...

Profitable hedging strategies?

No I didn't. I don't know Matlab at all (nor Octave), I can't read these sources (I don't understand all of the notations). I suck with R. I'm still unable to find good resources to learn it. The online PDF manuals worths nothing. I hate R having ...

Quantitative and Algorithmic Trading

Much easier to read than Bayesian Forecasting and Dynamic Models by West and Harrison. Sadly, here also, the author mainly focuses on the Gaussian distribution. Also he doesn't talk about discounting factor for the unknown covariances (whereas West ...

Quantitative and Algorithmic Trading

Returns squared I get it. You predict the volatility. But how do you exploit the absolute value of the returns? Knowing the magnitude but not the direction doesn't seem to help a trading decision. Also 100000 lags aren't easy to fit.

why have you accepted the price-predictability assumption?

I'm still unable to completely reject the autoregression assumption. Mainly because of nubcake's post about the way he recognized the random charts. We can't detect it either because it is changing too quickly (is price piece-wise ARFIMA?) or ...

why have you accepted the price-predictability assumption?

Some time ago, redlion randomly generated some charts and nubcake was able to distinguish which ones were real/random. If you have a look at proximus result, you immediately see they are fake. This is because the uniform distribution of the ...

why have you accepted the price-predictability assumption?

All this debate about random vs pseudo-random is non sense. This is a non-issue. We are using a few millions bits of data. That's a ridiculously small sample. Proximus results are bad because he is using a uniform distribution. Full stop. Let's move ...

why have you accepted the price-predictability assumption?

Nope mine are random as well. Samples are independent and identically distributed. The difference is the probability distribution used. Redlion used the Normal distribution. Proximus is using the uniform distribution, which is not realistic. ...

why have you accepted the price-predictability assumption?

Sorry I'm not using MT4. I don't know what is a "pip by %". I just don't know their algorithm to reproduce. I'll try to reverse engineer Envelope Indicator if I find the .mq4 file. MT4 is just horrible, don't know why anyone ever tries to trade with ...

why have you accepted the price-predictability assumption?

E/U M1 looks even more chaotic than the random one.

why have you accepted the price-predictability assumption?

No I didn't cherry picked a chart where it works! I have a scientific approach. You ask for a random chart with a 120sma. I generate a chart and drop a 120sma onto it. The four screenshots are a random chart. The same one. I took the equivalent of ...

why have you accepted the price-predictability assumption?

Let's see. image image image image

why have you accepted the price-predictability assumption?