|Dec 10, 2016
I wonder what you think of Trump winning the election?
|Thank you for raising this issue.
that we have campaign rhetoric behind us, you might consider monitoring
what policies the president and the congress actually implement.
Protectionism: generally lowers the standard of living for consumers and may lead to war.
Lower Taxes and Reduce Government: generally raises the standard of living and motivates business expansion.
policy that might have a profound effect on the economy does not seem
to appear on anyone's agenda: return to the gold standard.
Thank you for keeping on updating your website with FAQ.
I am thinking on the results of one trading system and I would be happy
to know your thoughts on this.
One system is a very long trend following systems. Same rules to
generate long and short trades and to get out of these trades. The
trading system is tested
in one market over the last 30 years and it produces the
Profit Factor: 9.64
Ratio Average Win/loss: 9.64
Percent Profitable: 50%
Average Monthly Profit: 0.31% of the contract value
Max Drawdown (Trade to Trade, NOT intraday): 5.43% of the contract value
Total number of trades: 16
It is true that these results have been obtained over a very long
period of time, but would you consider statistically significant a
result obtained with 16 trades only?
On the other hand, if we used a short term trading system that has
generated more than 500 trades, even if we had a definitely lower
profit factor could we consider the results statistically more
I really thank you for any thought on the subject.
you for raising this issue.
Yes, 16 trades do not give you much statistical verification - if you
don't have anything else.
Perhaps you have something else.
You might consider getting more data by testing your long-term 16-trade system
in other markets.
From the data you have, if the short-term system differs from the
long-term system only in the time parameters - and if the short-term
system also shows profits, then you might have more confidence in the
You might consider that statistical relevance presuppose a large
sample size - and that even a statistically profitable system indicates
very little about your chances on any one particular trade.
On your list of Important Investors, I notice that
"Every single person on this list is incredibly smart. But they were
also fortunate to be born when they were"
Every once in a while an unlucky guy gets lucky. See: https://en.wikipedia.org/wiki/John_D._Arnold
you for raising this issue.
I think that success has a lot to do with the right place at the right
time. A lot has to do with recognizing opportunity and
jumping into it. A lot has to do with character and attitude.
I think success and happiness do not correlate linearly - and that the
latter has more to do with love and grace.
I see you on a timeline of important investors.
you for sending me the link.
First of all thanks for taking the time to help others in a lot of
subjects, not only trading related.
Thanks also, for taking the time to read this email.
I've been researching several trend following systems, trying to have
the least possible parameters to avoid over fitting. I'm trying to have
only a long-term period resistance which determine entry signals, which
during optimization, seems to be very stable and another one, which is
the stop loss distance.
The stop loss parameter is influenced by a variable which is multiplied
by ATR to determine stop loss level (adjvar - explained below). The
larger this variable is, the larger the stop loss distance.
I've attached a picture which shows Compounded Return/Max. Drawdown in
Z axis, Stop "tightness" in "adjvar" axis and risk per trade in the
From optimization (see attached picture) for very tight stops the
CAR/MDD is high, but then we see a drop in performance, and for larger
stop distance we see an improvement again. (doesn't seem a robust
What I've also found is that in this system for larger stops, we get
higher CAR and higher Drawdowns, for the same CAR/MDD Ratio.
Do you have some insights from your experience, on the performance of
systems in relation with stop loss tightness, that can help in
researching the effects of stop distance in systems performance?
Inline image 2
Thanks again for your time
you for raising
I do not see much in the way of a "sweet spot" on your graphic.
You might consider running a series of tests to generate surfaces with
different values of "skid" or transaction cost, ranging from 0% to 100%
of the range on the day of trade.
You might find your "tighter" systems turn out much more sensitive to
transaction costs than your "looser" ones.
Robots at Work
In this video of an auto plant production
line, I finally
see some people at about the 7-minute mark.
you for sharing
Contrary to popular thought, the US is not growing slowly because
technology is stealing jobs. It is not growing slowly because
productivity isn't improving. It is not stuck in a secular stagnation
because of China, Mexico or inequality. The US is growing slowly
because it is carrying the burden of a massive government.
All government spending is financed by borrowing or taxing from the
private sector. The more the government spends and the more it
redistributes the more it "crowds out" economic growth. The bigger the
government, the slower the economy, jobs and incomes grow.
Federal Government spending, excluding defense, has risen from around
6% of GDP to over 17% of GDP in the past 60 years.
If the Trump Administration … really wants to improve living conditions
for the average American, not just in Rust Belt states, but everywhere,
what it needs to do is reduce the size and scope of the federal
you for sharing
Popular thought does not always reflect the lessons of
For example, during the final stages of an inflation-money-printing
blow off, the public screams for more and more money printing so they
can keep up with inflation.
The Venezuelan Bolivar has just experienced its most devastating and
destructive short-term decline in history! On October 24th, the cost of
USD$1 in Venezuela was Bs. 1,221.87, but the announcement of a 40%
minimum wage hike has caused the cost of USD$1 in Venezuela to explode
in recent days to Bs. 4,538.46.
Over the past month, the Venezuelan Bolivar has lost a stunning -64.64%
of its purchasing power against the U.S. dollar, its largest
month-to-month decline in history. For comparison, its median
month-to-month decline over the past 5 years has been only -5.95%.
This gives Venezuela an implied annualized price inflation rate of over
26 million percent!
you for posting
For more on the dynamics on hyperinflation - and what you can and
cannot do about it - see my book, Govopoly in the 39th Day,
Greetings. I have started going through your website and found it
interesting and useful.
I am based out of India and have a deep interest in trading and believe
in personal excellence in all aspects of life.
I have a question to ask you. I am currently trying to understand
markets and I see lot of black box systems, statistical algorithms,
advances in machine learning and all. How
does one get a perspective on learning with so much information around.
you for raising
I wonder if you can tell me what you mean by "getting a perspective on
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