Ratio of Immersion to Profits #idea
What is the ratio of immersion to profits? How to track? How to test? –h
Category: Tests
The Real and The Imagined #idea
The most fascinating thing about counting and the markets is the difference between the real and the imagined. –h
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[…]
P&L’s Turn Faster Than Historical Data #idea
P&L’s turn faster than historical data. That matters. –h
Factories #idea
Build factories by combining stocks in an industry that cover the broadest spectrum of the industry, i.e., exploration, research production and delivery. Test the performance of the factory against the performance of the individuals. Build best factory and worst factories for a pairs trade. –h
March Performance
Trend Day Forecast – Since Inception Un-leveraged P&L P&L: +$102,867 (13 months, +$7,912/contract/month) Percent Wins: +61% Months profitable: +76% MaxDD: -2.6% t Score: 3.12 (statistically significant) Trend Day Forecast – March Un-leveraged P&L P&L: +$26,198 per contract Percent Wins: +76% More details are here.
The Questions Lie in the Data
Start at the beginning. Plot some data. See if there is anything there. (Hints of ‘anything’ count) Ask questions about what you see. Think big thoughts before going in search of little answers. –h
A Simple Gold Study
Gold futures have been up on a year-to-year basis, every year since 2005. With a z score of 4.24, An annual return of about 12%, A max drawdown of roughly 30%, –h
Trend Day Forecast, Mar 15, 2012
Odds of being rangebound: Bund: 43% rangebound Stoxx: 96% rangebound Bonds: 77% rangebound SP: 78% rangebound Gold: 74% rangebound The highest intraday odds of trending and or big moves are in Bonds (30 yr), Bund and Gold, –h
Quick Tip: Big Counting
There are two types of counting*: Big and Small. Big counting is used to gain big picture understanding. Examples of Big counting are – Has the impact of Bond prices on Stock prices changed since 2007? What is the impact of Copper prices on Bond prices? Small counting is used to help understand a specific Read more about Quick Tip: Big Counting[…]