Recent content by 11bblandin

Greetings All There's one point that has always bugged me about these types of discussions, which is the use of the arithmetic mean trade result as expectancy (typically expressed as Avg Win * Win Rate - Avg Loss * Loss Rate). This value is only accurate in two situations: fixed position...

I guess my question pertains more to trading systems driven by machine learning, but can also apply to rules-based systems that use chart patterns as setups. Since all past information must be contained in each data point if you wish to include indicator values or candle characteristics from...

I am focused mainly on systems that trade a single issue long/flat and agree with the concept of assessing each day whether to be long or be flat (whether that means entering, exiting, or continuing to be long/flat). However, when I move on to the next step of determining risk through MC...

Howard, I have a question that pertains not to Quantitative Trading Systems but rather your latest book Quantitative Technical Analysis. You use each day's mark-to-market equity as a closed trade, and then go on to sample from these "closed trades" as part of your monte carlo analysis. Is it...

First I think you'd need to identify the time frame you'd want to look at. Then in that time frame find a way to describe what the market has done/ is doing, either by looking at highs/lows in that period, or through an indicator that describes where the current price is relative to the prices...

Greetings all First off, brand new to the forum and can already tell there's loads of good info on here and some top notch contributors. I recently finished reading Dr. Bandy's latest book, and the universal objective function described therein is probably the most logical I've come across...