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  • 11 votes cast
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
Apr
12
revised How does return-based analysis calculate expected return of a trading system?
hopefully remedy confusion
Apr
12
comment How to design a custom equity backtester?
have you decided what programming language you want to use?
Apr
12
comment How does return-based analysis calculate expected return of a trading system?
@RockScience I added an edit to the question to clarify that our example system generates signals daily.
Apr
12
revised How does return-based analysis calculate expected return of a trading system?
explain return frequency
Apr
12
comment How does return-based analysis calculate expected return of a trading system?
@fRed does viewing the exact same system over the same time frame as daily returns (and increasing your observations 100 fold) address those data mining worries (which I share)?
Apr
12
revised How does return-based analysis calculate expected return of a trading system?
correction on math
Apr
11
asked How does return-based analysis calculate expected return of a trading system?
Mar
13
comment Does the gamma function have any application in quantitative finance?
Your second equation looks like the beta function, which now opens up some more things to ponder.
Mar
13
comment Does the gamma function have any application in quantitative finance?
Appreciate the link. Thank you.
Mar
13
comment Does the gamma function have any application in quantitative finance?
Thanks for the response. I thought it may come up in calculating half-life of a mean reverting spread, but couldn't find it there.
Mar
13
accepted Does the gamma function have any application in quantitative finance?
Mar
12
asked Does the gamma function have any application in quantitative finance?
Feb
14
awarded  Scholar
Feb
14
awarded  Supporter
Feb
14
comment Correlation between prices or returns?
This blog post explains it well, and extra bonus points for using R. Thanks.
Feb
14
accepted Correlation between prices or returns?
Feb
14
awarded  Announcer