LATEST BLOGS

Introduction To Backtesting Metrics Part 2

Kora Reddy of asxiq is back as  a guest contributer with part two of his introduction to backtesting metrics. It follows on from Part One which can be found here. Payoff ratio (Ratio avg win/avg loss): Payoff ratio is the system’s average profit in Dollar terms per winning trade, divided by the average loss in Dollar…

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76% Of All Statistics Are Made Up

Whilst heading to the gym this morning I heard on the radio that police had seized 280 kilogram of methamphetamine with a street value of $205 million. Apart from thinking I was in the wrong business I thought bullshit. The reason I said bullshit was simply the result of a quick bit of mental arithmetic,…

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Stock Sweet Sixteen

Apparently the image below has been doing the rounds as the drivers of US stocks. To which I say…. Simply because it ignores the overriding issue of our perceptual driver. The thing in control of all markets is our own tiny brain and the silly things it does.

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Hedge Funds Fudge Their Data…Say It Isn’t So

From The Economist – Some revisions may be down to cock-up but a closer look hints at conspiracy. Counter-intuitively, most fixes aim to make performance look worse than originally stated. That is probably because two-thirds of funds charge performance fees only if they are at or above their highest valuations. Eager to bring forward the time…

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Not Everything Is As It Seems

Every now and again I tend to review the relative performance of markets to get a sense of what is happening. I also do it to make certain I have not missed something that is glaringly obvious. Such a task is more of an overview hobby because in the world of relative performance not everything…

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Get High Off What You Do

I am not really one for motivational crap – all that Anthony Robbins bullshit that simpletons fall for makes me want to bash my own testicles with a hammer. However, every now again you come across a piece that is really quite simple in its message. Change the lifting metaphors and setting to trading and…

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Rational Rationality.

People are not irrational-at least not as much as we are led to believe. This is because the brain is economic. That is, brains have a limited amount of energy to achieve necessary goals like survival and reproduction. As a result, brains have evolved ways to make decisions in an efficient way. Professor Richard McKenzie at UC…

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Dow Jones-UBS Commodity Indices

I tend to subscribe to very few things, one of the things I do find useful si a monthly report that DJ-UBS produce on their commodity indices The report comes out once a month and has the following format. Looking at a chart is good but your eyes can play tricks on you which is…

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Introduction to Backtesting Metrics

This Friday we have Kora Reddy of asxiq dropping by as  a guest contributer, who for the next three weeks will be going through some of the intricacies of back testing. Why Backtest a strategy? Quick answers to the question: to determine whether a theory or hypothetical construct is valid in historical testing to summarize…

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It Works….Bitches

Thomas Henry Huxley was referred to as Darwins bulldog for his defense of evolution. Dawkins follows admirably in the tradition of defending rationality against the growing number of idiots that increasingly populate the world. .

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When Is a Negative a Positive?

The folks at Freakonomics Radio have an excellent new podcast. So when is a negative a positive? When the negative is feedback. We focus on a clever research project byAyelet Fishbach of the University of Chicago andStacey Finkelstein at Columbia. It argues that positive feedback certainly has its role — especially when someone isn’t yet fully invested…

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