You Can’t Step Into the Same River Twice #idea

“You can’t step into the same river twice.” A flowing river constantly changes its contents: the waters in front of us move on and others replenish them. Heraclitus says the cosmos functions in the same way way: new things come into being, others die, and everything is transformed. Look around: • New laws are enacted and Read more about You Can’t Step Into the Same River Twice #idea[…]

Quick P&L’s, January and To-Date

Quick Summary  Market Stress has helped  Our Trend Day predictions are getting better  We combined Market Stress and a Trend Day prediction to identify the recent market turn  Since Market Stress the Forecast set-ups have been correct 77% of the time Since Market Stress, October 2013-p Market Stress, Oct 2013-p     Gross $4,431     Read more about Quick P&L’s, January and To-Date[…]

Machine Learning with R #ideas

Machine Learning with R Every time I’ve applied Machine Learning, I end up curve fitting but I keep soldiering on expecting that sooner or later something will click. I loved Machine Learning with R which is full of examples and has a nice overview of the field. The snippet on comparing two variables using CrossTable() Read more about Machine Learning with R #ideas[…]

Are Two Edges Better Than One? #idea

Are Two (Uncorrelated) Edges Better Than One?* Our results pre- and post- Market Stress, our second edge: All Market Stress Change Avg 67.61 93.04 38% Std dev 1042.9 299.79 -71% llt (8640.00) (1000.00) -88% w/l ratio 0.83 0.65 -21% win pct 60% 78% 31% f 0.11 0.45 303% f$ 76591 2200 -97% z 2.32 2.22 Read more about Are Two Edges Better Than One? #idea[…]