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  1. J

    What are you listening to now?

    https://www.youtube.com/watch?v=bZcIxEnWbOc&list=RDbZcIxEnWbOc&index=1
  2. J

    More experience, Less profits?

    I've been through a couple of cycles of a) being long beta in the late 90s and b) short vol in the early to mid 2000s. You tend to get influenced by the times you trade in; anyone who started buying stocks during the dotcom bust probably chucked in the towel- likewise during the recent crisis...
  3. J

    What are you listening to now?

    Paul van Dyk - For An Angel (Club Mix) - YouTube
  4. J

    Backtesting puzzle

    My understanding of the MT4 platform is that it is not a limit order book. Traders always "cross the spread", so passive limit orders are not possible. Therefore, your order is only triggered, as you have said, when crossing the spread will result in that price. This is a market-if-touched...
  5. J

    What are you listening to now?

    Above & Beyond - Formula Rossa (Original Mix) - YouTube
  6. J

    Backtesting puzzle

    They're still market-if-touched in the sense that (for a buy order) the ask needs to touch your price. In other words, the bid is below your price by the amount of the spread. A true limit order earns half the spread, because you only need the bid to hit your price.
  7. J

    which ratios should I use for calibrating system parameters?

    Try going long the star performer and short the crap performer. It's been tried for moving averages and apparently earns excess returns.
  8. J

    Mike Baghdady - should I take a course or not?

    Playing devil's advocate, and allowing the guy his "World Champion" status as an exaggeration, are these courses really any worse than the 30K students will soon be paying for university degrees, when they often have no real prospects?
  9. J

    Backtesting puzzle

    Chances are those orders are really market-if-touched orders, meaning that you still pay the spread, and hence perform worse for smaller bracket orders.
  10. J

    What are you listening to now?

  11. J

    purpose of sharing systems

    Exhibitionism.
  12. J

    What are you listening to now?

    Gareth Emery feat. Christina Novelli - Concrete Angel [Official Music Video] - YouTube
  13. J

    Wilmott books

    The natural log helps to deal with the fat tails (kurtosis). With regard to a random process, the shape of the distribution, including skew (as in incomes) does not determine whether the `random' assumption is valid. All you need is that the sum of the probabilities adds to 1 (or integrates to...
  14. J

    Wilmott books

    I think it's probably referring to the error term in the following: ln P(t) - ln P(t-1) = e(t) The difference in the natural logs from one day to the next gets closer and closer to the bell-shaped normal distribution as the sample size gets larger. As long as the individual e(t) are i.i.d...
  15. J

    Wilmott books

    Mean reversion, meanwhile, is best thought of in terms of cointegrated variables - a type of dependence like correlation. You might expect two airline stocks to be cointegrated, which means that there is a natural tendecy for the spread between their prices to "error-correct" to zero.
  16. J

    Wilmott books

    A random walk is an I(1) process, which means that as the sample size tends to infinity, so does the variance. In other words, a random walk can end up anywhere, and certainly is NOT mean reverting. Nearly all financial prices are I(1). To obtain a stationary process, which means that the...
  17. J

    Wilmott books

    The Mathematics of Financial Derivatives: A Student Introduction: Amazon.co.uk: Paul Wilmott, Sam Howison, Jeff Dewynne: 9780521497893: Books This is the one. All you need is some knowledge of ordinary differential equations. Has pseudo-code for the numerical parts.
  18. J

    Stop Loss For Options?

    Short strangles with long deep-out-of-the-money puts and calls to limit losses.
  19. J

    Wilmott books

    I would have thought it's aimed at pricing and hedging / financial engineering, rather than discretionary trading. I've looked at his Financial Derivatives for Science Students (or something like that) which you'd probably enjoy.