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Feb
5
accepted Optimization metric that takes into account number of trades vs expectancy
Nov
4
comment Optimization metric that takes into account number of trades vs expectancy
I'm not sure I understand, my last statistics exposure was a while ago in college. See my comment above, does that reword the question to allow for a simpler answer?
Nov
4
comment Optimization metric that takes into account number of trades vs expectancy
I think what I need is a way to identity "the point of diminishing returns" of increases in expectancy as the number of trades gets reduced. For example if the first increase of 10 in expectancy reduced the trades by 100, but the second increase of 10 reduces the trades by 500, then the second increase is not worth taking.
Nov
4
revised Optimization metric that takes into account number of trades vs expectancy
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Nov
4
revised Optimization metric that takes into account number of trades vs expectancy
added 8 characters in body
Nov
4
revised Optimization metric that takes into account number of trades vs expectancy
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Nov
4
awarded  Editor
Nov
4
revised Optimization metric that takes into account number of trades vs expectancy
added 5 characters in body
Nov
4
asked Optimization metric that takes into account number of trades vs expectancy
Sep
24
awarded  Autobiographer
Nov
19
awarded  Teacher
Nov
19
answered Main backtesting & trading solutions: QuantFactory, Deltix, etc.
Oct
18
accepted Major FX pairs - Pentahedron Data Structure
Oct
10
asked Major FX pairs - Pentahedron Data Structure
Oct
10
accepted Detrending price data for analysis of signal returns
Oct
7
asked Detrending price data for analysis of signal returns
Oct
7
awarded  Scholar
Oct
7
accepted Running a simple alpha estimation test for statistical significance of a signal
Oct
4
awarded  Supporter
Oct
4
comment Running a simple alpha estimation test for statistical significance of a signal
I ultimately want to be able regress across a number of user defined metrics that are recorded right before the signal (bar range right before the signal, distance to previous high, value of a different indicator right before signal, etc) to see if there are relationships there that can yield new information about entries with a statistically high chance of turning profitable.