“This, too, must be tested.” –Dr. Niederhoffer I used to think the emphasis was on ‘This’ But it’s not – it’s on ‘too’ Because one needs to test so many things so many times (think 10,000 hours of testing) that the tests and their variants flow. Almost instantly. Because on Friday at 14:50, you only have Read more about On Testing #idea[…]
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 $4,431 Read more about Quick P&L’s, January and To-Date[…]
This paper develops a methodology for determining if an historical backtest overfits the data. –h
“This, too, must be tested.” –Dr. Niederhoffer The First Law. The Guiding Principle. –h
What does market data look like after you apply a spam filter to it? –h
The most fascinating thing about counting and the markets is the difference between the real and the imagined. –h
Machine Learning with R Every time I’ve applied Machine Learning, I end up curve fitting but I keep soldiering on expecting that sooner or later something will click. I loved Machine Learning with R which is full of examples and has a nice overview of the field. The snippet on comparing two variables using CrossTable() Read more about Machine Learning with R #ideas[…]
Are Two (Uncorrelated) Edges Better Than One?* Our results pre- and post- Market Stress, our second edge: All Market Stress Change Avg 67.61 93.04 38% Std dev 1042.9 299.79 -71% llt (8640.00) (1000.00) -88% w/l ratio 0.83 0.65 -21% win pct 60% 78% 31% f 0.11 0.45 303% f$ 76591 2200 -97% z 2.32 2.22 Read more about Are Two Edges Better Than One? #idea[…]
Trade Tiers: Tier 1: Two or more independent edges, e.g., quant + Market Stress Tier 2: A single edge Tier 3: A seasonal –h
A good year w/ some nice momentum going into 2014 behind our latest innovation Market Stress, Current win rate: 78% Average annual return (unleveraged): 8.6% –h Full pdf is here.