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visits member for 2 years, 9 months
seen Jul 30 '11 at 16:23

Jul
23
answered What are the advantages of switching platforms/languages between strategy development and implementation?
Jul
14
comment Annualzing the log of daily returns riddle
Joshua's point was that when you convert to log returns, you also need to convert your bounds to log returns. A 100% loss corresponds to a log loss of -infinity. Requiring a lower bound on the log return of -1 is equivalent to requiring a lower bound on the arithmetic return of -63.3%.
Jul
11
awarded  Teacher
Jul
10
comment What are the risk factors in analysing strategies?
I'd be interested to hear how you'd improve this approach. It's pretty simplistic, but seems to show some efficacy to at least avoid the largest drawdowns.
Jul
10
answered What are the risk factors in analysing strategies?