Smittens, You are spot on in all of your replies. The issue I have with gambler's fallacy, is that once people finally get it, then they take it to the opposite extreme, without trying to understand the practicality of it. That's why I originally ...

You are missing the point. I suggest you find a physical coin that you can flip 1 million times (or far less) and get 1million tails to come up in a row. In the event that you do, based upon the evidence (and not abstract belief), you are far more ...

This is the problem with thinking too abstractly. If you were to toss a physical coin with 1 million tails in a row, I would gladly wager that the same physical coin would turn up tails in the next toss. We shouldn't get too bogged down in any ...

Here's a thought. When you discuss coin flips, the underlying premise is that the tosses themselves are perfectly independent. No matter how you want to extend that premise, the results should end up independent. But why not take a source of real ...

Nice work; thanks for sharing. Are the (non-white) curves etf equities or strategies running on equities? I'd assume the latter since many of the curves have huge jumps towards the end. If by chance they are individual equities, can you tell us what ...

Completely going about it the wrong way. It's important to be very clear about what you want (and I know you made several attempts). To tabulate the net path distance of individual moves and divide through by the sum of all those paths does not ...

Both equations are algebraically identical. Only the intermediate variable names and steps differ.

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There are pros and cons. As a positive, MC can help in optimization, robustness, and analyzing sensitivities to unseen (esp. noisy) data. A large range of synthetic input data can be created to stress test the system over different conditions, and ...

I'm all ears. Fire away!

Hi Craig, Without expanding much on the pros and cons of either approach, it seems suitable to apply the same logic to either case. In both cases, you have some central (average) measure. Case 1) you are measuring dispersion properties around ...

Although you could use the second difference (discrete version) as a measure of deceleration, notice that my illustration already showed the first difference is sufficient to accomplish what he wanted. Also, the measure on a noisy price is next to ...

Rate of change is simply dy/dt or y2-y1/t2-t1, t2-t1 will always be equl to 1 if you sample equal 1 unit distance (i.e. daily). So it is simply price2-price1 at each step. Notice at the inflection points (peaks plus and minus), dy (slope) is ...

Yes, Prices do follow a log normal distribution over the long run. This is one reason buy and hold tends to work well. One obvious challenge with using this distribution as a system launching point (which you pointed out), is that the ...

The hurst exponent is a fractal based measurement of a time series, as described above: <.5 => anti-persistent, .5=random, >.5- => persistent. That being said, like most other indicators, it is only a measurement based upon a current window/sample ...

If I understood correctly, you are resorting each IS/OOS list of top 20 (ensemble?) fitness performers by fitness rank. That would scramble the dependency between Is/OOS no? Also, I'm confused by sorting both lists by OOS fitness. If one list is IS, ...

Purley, do you have any experience with programming? Why can't you try to generate some kind of hypothesis about your expected behavior and then run some tests to verify it. For instance, what exactly do you expect from a series with a hurst greater ...

Yes, this is how I perceived the question as well. Not so much using OOS data in the training set (analysis/optimization), but asking how reliable one OOS data period is useful to validate the training set. This is actually a very good philosophical ...

Higher amplitude of positive excursions from ideally smooth equity curve? Higher high frequency would simply denote more energy in idiosyncratic noise, positive and negative excursions are implicitly assumed symmetrical when referring to frequency ...

Wall Street is a must! Rogue Trader also pretty good. Boiler Room. If you trade on your own long enough, you'll eventually relate to Pi. A newer film just out is limitless. A few others are out there, but those are some of my favorite fiction ...