Recent content by andrewdb

My reversion to mean picture ... and here is my 'reversion to mean' piccy which serves reasonably well https://drive.google.com/file/d/0B2Ks53fVmykARDJpMHBQenZVX3c/edit?usp=sharing (Google Image)

In the spirit of being helpful ... A link that works is http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.135.1144&rep=rep1&type=pdf (PDF). You could also look at the perils of overfitting http://www.ams.org/notices/201405/rnoti-p458.pdf (PDF) Commonsense tells you that the simple...

If it works, it could be the distribution of empty coke cans at the local recycling centre - if it works. My definition of 'works' would be something like to call the 3 highs and lows of the ftse100 over the next 3 months (april-june '14) in order within 1%. Others may have a different definition.

I looked into this wrt the ftse100 and found some peaks (not significant) but none at any of the filb retracement levels. Not claiming fib is nonsense, but do ask:- How much do you make trading using this technique?

Can I interpret that as being on average, about 75% of a change in the price of one stock is due to changes that apply to all stocks ( and about 25% of a change is driven by the company itself? )

... I think the market is behaving differently, and I went on holiday (which was a good thing). currently chewing my way through 'the evaluation and optimisation of trading strategies' by r pardo which has some interesting insights but was hoping for more. There was one comment he made -...

Well, I was doing ok - looking at my record for the last year or so ... until 15/8/13. Of course irl I got stopped out at 6580, but my model makes no such fine distinction. I have a suspicion that that the rules are in transition. Is there hope - yes.

In terms of commercially available tools - i suggest you look for the one that has been around for a long time, and has had a number of mentions here. You could also look for non-commercial advice/tools - some people do this not to make money, but to be 'right', or just helpful. There are some...

Thanks. I have been working on various pattern - matching indicators for the last 2-3 years, as well as the 'usual' ema rsi etc ones. The results that are produced basically say +1 / 0 / -1. I wanted to ask for as little information as possible that would help me - you do see models that say...

This may sound a bit dumb - so I apologise if this has been asked N times before, but, When you backtest, do you optimise for (a)probability of win (b)amount of win (c)something else fwiw I do (a) but am not sure why.

some of the best comment on this area i have read is in 'way of the turtle'. plain english and not much math - that may or may not be a reccomendation.

I spreadbet on the FTSE. The problem I have is knowing when the tool / model is failing. You choose whether to buy or sell and if you choose at completely random, I think the chance is ~50% of being correct ( yes, it is more like ~.44-.5 but... ). I use the binomial test. If I observe 32...

Is 100 percent mechanical trading possible? - Yes. We are all mechanical systems. Most people fail at trading. Some people are consistently successful. This may be luck, or may be because a series of rules were followed. It does not matter here. I think this is known as the...

O'Brien says 2 + 2 = 5

In short, the really successful ones will not tell you. You are probably not interested in the ones that lost their shirt. Many look for some sort of formula that allows them to trade profitably. Here is one really simple one : from the crash in 08 to early 10, if the market went down one day...