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visits member for 2 years, 10 months
seen Jul 17 at 21:53

Jan
31
awarded  Commentator
Jan
31
comment Position Sizing For Ratio Pairs Trade
Yep, I'm seeing that in my testing, basically, the volatility is volatile. Hmmm...what to to...
Jan
30
revised Position Sizing For Ratio Pairs Trade
added 215 characters in body
Jan
30
asked Position Sizing For Ratio Pairs Trade
Dec
1
comment Absolute Dollar Form Of Kelly Criterion
Cheers! That book looks like it's worth a read.
Nov
23
comment Absolute Dollar Form Of Kelly Criterion
That formula seems to be a specific case for binary outcomes, quote: "For simple bets with two outcomes, one involving losing the entire amount bet, and the other involving winning the bet amount multiplied by the pay-off odds". I was more specifically wondering if there was an absolute dollar form in the continuous case.
Nov
22
asked Absolute Dollar Form Of Kelly Criterion
Nov
22
comment Performance Stats of Pairs Trades
I think so, I'd managed to roughly convince myself of the same, but it's good to see I'm thinking along the correct lines.
Nov
22
awarded  Student
Nov
22
asked Performance Stats of Pairs Trades
Aug
9
answered How far back is normal to backtest an ATS ?
May
3
comment Utility to download historical Implied Volatility data from Interactive Brokers?
A Spanish newspaper?
Apr
24
awarded  Teacher
Apr
23
awarded  Editor
Apr
23
revised Is F# used in trading systems?
fixed grammar
Apr
23
comment Is F# used in trading systems?
Yeah, that did occur to me as well, but I'm not really enough of a expert in functional languages to make a judgement. I know one of the other reasons they went to F# was so they could use the VS tool-chain (debugger etc).
Apr
23
answered Is F# used in trading systems?
Apr
21
answered How can I go about applying machine learning algorithms to stock markets?
Apr
13
comment Looking for a recommendation for a real life volatily trading book.
I concur. Both Sinclair books are very good.
Apr
12
comment Choosing the time-frame to test for cointegration
My answer isn't as flippant as you seem to think, I suggest reading this ljmu.ac.uk/Images_Everyone/Jozef_1st(1).pdf. There is no magic formula to choose a time-frame, you just need to test & experiment, which is what I was really suggesting.