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- 35 Results (2 Threads , 33 Replies )
- PipMeUp replied Sep 11, 2023
Unfortunately you have to slice because despite the trend is overall zero it is made of a succession of up, then down, then up trends... You don't trade the average, you average the trades. In math terms the limit of the expectancy is different from ...
- PipMeUp replied Dec 11, 2018
I was puzzled by the question so I took my ticks database for EUR/USD. I measured the path length (sum of absolute tick returns) over all periods of 24 hours starting at every hour. It isn't really a range vs trend classification but the bigger the ...
- PipMeUp replied May 23, 2018
I remember some years ago we had a discussion (with FXEZ I think), in a thread I couldn't find back, about trading the equity curve like MP suggests. The conclusion was that you need your equity curve to be positively autocorrelated. Many of the ...
- PipMeUp replied Oct 3, 2017
It is nice and beautiful but wrong. Say you have N net winners thus far. What is the expected number of winners at the next trade? If you win that's N+1. If you lose that's N-1. Thus if your winrate is w the expected increase of net winners is[1]: ...
- PipMeUp replied Sep 18, 2017
It looks like the idea of this thread is that martingale MM is a smart move when you have an edge because it is supposed to boost the strategy. The problem is that the assumption is wrong. Martingale is only "useful" to invoke Lady Luck when you ...
- PipMeUp replied Jan 11, 2017
This paper may be of some interest. Note that it requires to know the expectancy of the strategy. This MM increases the size when the strategy is below its expected performance. DD are quickly recovered. But you have to be really sure of the edge ...
- PipMeUp replied May 27, 2016
I agree with leebsurag Aussie and Kiwi aren't cointegrated. They move together because big USD makes them dance. Try this dataset. It is CAC40 vs DAX daily.
- PipMeUp replied Sep 16, 2015
Through simulation in R image file
- PipMeUp replied Sep 15, 2015
If I understand the rules correctly that's just the good ole reverse martingale limited to the 3rd level. If the system has no edge it will lose because it will randomly hit the bankruptcy level at some point (RW). If the system does have an edge 1% ...
- PipMeUp replied Aug 30, 2015
And this is the heatmap generated for it: image
- PipMeUp replied Aug 25, 2015
Risk free rate is a free parameter. You can use the inflation rate of your country or the best rate you can find for a saving plan or whatever you like or simply 0%. Be careful not to use the formula you usually find on the Net for either Sharpe or ...
- PipMeUp replied Aug 22, 2015
Despite the apparent paradox there seems to exist statistical validity to Benevolent's statement. The strategy itself is part of the elements to determine if the market is bearish or bullish! To estimate if it is preferable to buy of to sell at a ...
- Quant basket trader? I need your help!
Are there quant basket traders out there? I need a hand from those of you who use quantitative ...
- PipMeUp replied Jun 1, 2015
I don't get the same thing as you do. But I think the difference comes from the lines 39-40 in your script: mle(j) = hi - op; mse(j) = op - lo; I use the % return: mle(j) = (hi - op)/op; mse(j) = (op - lo)/op; I'm happy the see that you also get ...
- PipMeUp replied Mar 4, 2015
Random is not the opposite of predictable.
- PipMeUp replied Jan 1, 2015
Hello and Happy New Year It may be good or not so good. It depends on your RR and your winrate. The RR must be greater than 2 otherwise you risk less and less... The bigger the RR the better. The greatest boost occur when you get a sequence of ...
- PipMeUp replied Dec 19, 2014
Hi ATjo I'm still trying to reproduce the linear regression results. My parameters are: Currency of the account: USD Starting balance: $100000 Money Management: 1% Timezone: Europe/Paris,Berlin Price used: open price, (bid+ask)/2 Stop loss: 0.6 x ...
- PipMeUp replied Oct 20, 2014
The 4th picture only shows the convolution formula not a recursive one. Anyway I found the paper by Zumbach. I attach it here for whoever is interested. I didn't finish reading it yet. FYI1 phase linearity in trading = all the frequencies lag the ...
- PipMeUp replied Oct 7, 2014
What takes time is the estimation of the orders p, d and q. If you already know you want a ARIMA(1,2,1) it should be done real time even if you use a Levenberg-Marquardt gradient descent to fit the model. The differentiation adds to the lag but not ...
- PipMeUp replied Sep 3, 2014
These papers are about volatility estimation. They describe a phenomenon they call the incoherent price formation. I didn't know about this and perhaps others don't either. Hence I share. In a nutshell: the estimation of the volatility is strongly ...