Milktrader

313 reputation

214

bio	website	milktrader.net
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visits	member for	2 years, 3 months
	seen	Apr 8 at 17:12
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	313 reputation	bio	website	milktrader.net	visits	member for	2 years, 3 months
214 badges		location			seen	Apr 8 at 17:12

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May 26	revised	How to hedge against lack of volatility grammar
May 26	answered	How to hedge against lack of volatility
May 1	comment	Quantmod: what's the difference between ROC(Cl(SPY)) and ClCl(SPY) @user508 I copied and pasted your correction into my answer. Thanks. Also, I checked it to make sure it's correct and it is.
May 1	revised	Quantmod: what's the difference between ROC(Cl(SPY)) and ClCl(SPY) mathematical inaccuracy
Apr 28	answered	Quantmod: what's the difference between ROC(Cl(SPY)) and ClCl(SPY)
Apr 22	awarded	Benefactor
Apr 21	awarded	Teacher
Apr 21	accepted	How does return-based analysis calculate expected return of a trading system?
Apr 21	revised	How does return-based analysis calculate expected return of a trading system? updated
Apr 21	comment	How does return-based analysis calculate expected return of a trading system? @glyphard, thanks
Apr 21	comment	How does return-based analysis calculate expected return of a trading system? @glyphard, please re-write your answer. Delete the first five paragraphs and express an equation that reflects what I think you are getting at in the comments. Thanks.
Apr 21	comment	How does return-based analysis calculate expected return of a trading system? @glyphard in my game function, you start with 100 and always end up with only 93.75 at the end of the game. It's not a mean calculation (geometric or arithmetic) but rather an illustration of a losing game. I got one possible way to determine expected return from actual returns here: en.wikipedia.org/wiki/Expected_return.
Apr 20	comment	How does return-based analysis calculate expected return of a trading system? @glyphard but that approach yields nonsense results, as shown in my answer. If it can't get it right with three trades, who knows what accumulated error you'll get after a few hundred trades.
Apr 19	revised	How does return-based analysis calculate expected return of a trading system? included results from transaction-based analysis; added 2 characters in body
Apr 19	revised	How does return-based analysis calculate expected return of a trading system? some examples
Apr 19	answered	How does return-based analysis calculate expected return of a trading system?
Apr 19	awarded	Commentator
Apr 19	comment	How does return-based analysis calculate expected return of a trading system? I get the winning trades vs losing trades metric, but that's the transaction-based analysis. The original question is "Does returns-based analysis calculate average positive daily returns, average negative daily returns and win/loss percentages in a manner similar to the transaction-based analysis?" This question is specific to returns-based analysis.
Apr 18	comment	How does return-based analysis calculate expected return of a trading system? What is the equation for taking daily returns and calculating expected return?
Apr 18	awarded	Promoter