network profile
| bio | website | |
|---|---|---|
| location | ||
| age | 34 | |
| visits | member for | 1 year, 11 months |
| seen | May 15 at 6:20 | |
| stats | profile views | 17 |
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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. |
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Sep 7 |
comment |
Computing FX forward delivery dates Great, thanks Phil |
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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? |
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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/… |
