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Nov
3
comment Automatic trading strategies - what are benchmarks for PL on serious backtesting?
@MattWolf Have you backtested some "open-source" strategy ? On at least 1 year data ? If yes - please share results.
Nov
3
comment Automatic trading strategies - what are benchmarks for PL on serious backtesting?
@MattWolf "There are obviously no statistics out in public domain that quantify the average return", results of PAMM accounts you can see for free. As far as I heard regulations ask hedge-funds to publish their average returns, am I right ? But I am not asking about very profound things.
Nov
3
comment Automatic trading strategies - what are benchmarks for PL on serious backtesting?
@MattWolf Context: I need some starting point, I am not asking about secret strategies. 1) There are many strategies which are "everywhere described" - combinations of moving averages, "internal day" (not sure about English name), Bollinger bands and so on an so forth. HOWEVER I have not seen serious backtesting results for these strategies. I have googled for many hours. It is NOT problem to make such backtesting - I can do it by myself, just it would take quite a time. And I am quite sure that lots of people have done this work - just I cannot google it.
Nov
3
comment Automatic trading strategies - what are benchmarks for PL on serious backtesting?
I agree. But just as a starting point i would like to get info on the question as it is. I do not mind if the answer would be: "I have tested strategies "..." and got that on 1 year data all them lose ... say 10% of deposit."
Nov
3
comment Automatic trading strategies - what are benchmarks for PL on serious backtesting?
@MattWolf "Serious" means say at least 1 year data. I agree that the question is broad, but it seems to me that this can be a problem if there would be overhelming number of answers, but according to my experience it would be good if I would receive 1 constructive answer. That is why I make a question broad.
Jun
5
comment Usage of Bollinger bands
Thank you very much!
Jun
1
comment Mathematical theories of (sub)-optimal trading strategies under “idealized” assumption - price is random process known to trader
Thank you very much! Let me think over it. May I kindly ask you to look at mathoverflow.net/questions/132430/…
Jun
1
comment Mathematical theories of (sub)-optimal trading strategies under “idealized” assumption - price is random process known to trader
@Ilya Thank you for your comment, if you can extend more on it would be very helpful. PS " I would say that one needs to know joint probabilities rather than 1-time-moment distributions." Yes, I meant joint probability of the event p(t_k) =p_k k=1...N
May
30
comment Statistical models for exchange rates?
Thank you very much !
May
30
comment Statistical models for exchange rates?
Thank you very much !
May
12
comment Distribution of profit/loss for retail traders in FX
What is the reason for downvote ?