318 reputation
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bio website milktrader.net
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visits member for 4 years, 1 month
seen Sep 29 '13 at 22:12

Jun
17
comment Who cares about autocorrelation?
Are error terms and residuals similar? As far the terms having significant autocorrelation, does that tell you that your model is naive or maybe you don't understand the problem sufficiently to create a model in the first place?
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.