I believe Taleb can explain his idea much better than me. http://www.edge.org/3rd_culture/taleb08/taleb08_index.html

Systematic trading

I use daily series because I do not so many strategies like what you did in your backtest. Btw your backtest is awesome! That truly shows the power of portfolio construction! But why not negative correlation? As suggested by modern portfolio theory ...

Systematic trading

I believe that the price has moved beyond your upper bound or lower bound limit.

Oanda trade rejected

I suggest to use skewness beside all these performance parameter. If your result is negative skew then you may easily overestimate your performance and subject to the black swan risk.

Systematic trading

Personally I do not calculate the correlation for the direction of trade, I just measure the correlation for the P&L between two strategies. Anyway, I am not good enough to answer your question.

Systematic trading

both.

Systematic trading

Because the house edge is lower when you trade higher timeframe.

Weekly and Monthly TF trading - Wow!

Amature traders talk about ROI while professional traders talk about risk adjusted return. IMHO ROI is only meaningful to catch public's eyeballs.

Realistic ROI and Account Size

Sorry for the confusing. You are right we cannot increase the profit factor because the individual P&L remain the same. However if i consider the net P&L for every 25 intraday trades as 'one individual trade' then the profit factor will be totally ...

Systematic trading

I used to focus on individual system optimization but nowaday I do not optimize my system anymore because I found that optimization is futile. Now I focus more on the correlation among the individual system instead of optimization. Currently I have ...

Systematic trading

The same idea is applicable to day-trading. I use the same idea for my day-trading portfolio.

Money management model for multiple strategy trading method

Just study the modern portfolio theory then you know what he tried to tell you. Portfolio weighting and correlation is the important elements in MPT. However my experience told me that correlation is much much more important than how you choose your ...

Money management model for multiple strategy trading method

I pay a lot of attention to the correlation matrix of my portfolio. Correlation Matrix should be closed to zero or even negative so that you can minimize the portfolio volatility.

Money management model for multiple strategy trading method

OP, how much you want to sell? I hope it is just about 99bucks for early birds...

A trader does not have to lose before you make profit in the Forex market

Honestly I do not know the logic behind this equation. Why (1-Win%)^(consecutive losses) = N?

Calculating probability of losing streaks

IMHO this calculate the probability of 10 losing streaks and 990 winning streaks in 1000 trades, where this scenario only happen twice in 1000 trades (The 10 losing streaks either happen at the 1st 10 trades or last 10 trades). So no doubts such a ...

Calculating probability of losing streaks

That method only valid if you want to know the probability of n losing streak for the next n trades. It does not answer the probability of x losing streak in total y trades. Say if you have 40% win rate, then the probability for you to lose the next ...

Calculating probability of losing streaks

Sometime I do have a problem to access to Fxtrade and their website but I always try use other ISP to verify the connection problem. I have a connection problem today with my primary ISP. I could access to all other websites without any problem but ...

Oanda down

I believe that the massive effect on the left is the behaviour of my setup because the scale parameter is about 1.8. If i can find a way or a setup which can reduce the scale parameter to 1.5 or something lower, the 1 pip effect on the left will be ...

Profit Factor Phase Space

My model has a significant positive skew distribution therefore a fat tail in nature. Before I created the phase space diagram for analysis, I thought that the profit factor should be approaching infinity if I use extreme reward/risk (Low win%). ...

Profit Factor Phase Space