318 reputation
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bio website milktrader.net
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visits member for 3 years, 5 months
seen Sep 29 '13 at 22:12

Jun
17
asked Who cares about autocorrelation?
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?