80 reputation
6
bio website
location
age 35
visits member for 2 years, 9 months
seen Oct 21 '13 at 7:45

Oct
2
awarded  Popular Question
Oct
16
comment Statistical significance of trading systems that use indicators with long lookbacks
I don't think he's talking about quantity of backtesting data, but instead the timespan over which each value of the indicator is taken (the 'lookback'). If this lookback timespan is comparable in size to the backtesting timespan, then there will be strong serial correlation in the indicator.
Sep
7
accepted Computing FX forward delivery dates
Sep
7
comment Computing FX forward delivery dates
Great, thanks Phil
Sep
6
comment Computing FX forward delivery dates
Thanks Phil, I agree there are a lot of factors to consider. However, I was trying to ask: calendar issues and such-like aside, are delivery dates for short dated outrights (say, 1W) computed by 1) adding a week to today, and then adding T+2 business days, or, 2) adding a week to the spot value date?
Sep
6
revised Computing FX forward delivery dates
added 670 characters in body
Sep
6
revised Computing FX forward delivery dates
deleted 22 characters in body; edited title
Sep
6
asked Computing FX forward delivery dates
Sep
5
awarded  Editor
Sep
5
awarded  Scholar
Sep
5
accepted Interpolating FX forward points
Sep
5
revised Interpolating FX forward points
added 9 characters in body
Sep
5
awarded  Student
Sep
5
asked Interpolating FX forward points
Apr
5
answered Is there a charting API which allows to replicate Bloomberg chart tool features?
Feb
28
awarded  Supporter
Aug
2
awarded  Teacher
Jul
11
answered Where can I find the standard discount curves for the standard CDS model?
Jul
1
comment Optimality of Kelly criterion in non-normal environment
That's not an issue, it generalizes easily to a continuous distribution. The danger lies instead in not knowing the precise distribution of your returns. There's an excellent summary of the good and bad properties of the Kelly Criterion here: edwardothorp.com/sitebuildercontent/sitebuilderfiles/…