Yes, not 2013 yet but that is life.

Despite basically not posting for a few eons, I get PM'ed all the time to post something and so I will try to as much as possible. I do find that posting does help me remember things; and there is a lot to remember. But I want to send out a fair warning early:

THIS IS MY JOURNAL, IF YOU DON'T LIKE WHAT I SAY, THAT IS FINE, START ANOTHER JOURNAL TO REBUT ME, BUT PLEASE KEEP THE POSTS POLITE OR ELSE I WILL SHUT THIS DOWN.

With the shouts out of the way...

I begin usually by observation, and then making a grandiose assumption; formulating a theorem from it, and then setting about proving it or disproving it. So first, a quick update on theorems that I have proven and not proven or proven false.

I had initially said that averaging up was correct; I now would like to retract that. Not a full retraction, because compared to averaging down, averaging up is much better, but it's not mathematically optimized.

Given position A in the market: Averaging down is defined as entering more positions into a market when the market has turned against you (negative open profits).

Given position A in the market: Averaging up is defined as entering more positions into a market when the market has gone your way (open profits).

I now have the research and the math to back up both:

Given position A in the market; averaging down will asymptotically approach ZERO in expectancy as frequency or lot size increases.

Given position A in the market; averaging up will asymptotically approach ONE in expectancy as frequency or lot size increases.

So there, I have now made peace with the world as far as averaging up is concerned. It will NEVER push your expectancy over 1.0, it can't mathematically, but it at least will not pull you into the grave like averaging down will.

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

To all those that have PM'ed me asking me what I have been working on in terms of trading of FX; this is basically it. The Trend Paradox. I had conjectured that there is a method in which to defeat the trend paradox; but I had been working on it for quite a few years. So the problem in layman's trading terms looks like this:

If I enter too early without enough datapoints to establish a solid trend; then I have very low probability that it is a trend.

If I enter later; after enough datapoints establish a trend, the likelihood of that trend ending just after entering increases exponentially with increases in data points.

So kind of you are screwed if you enter early, and you are screwed if you enter late. The goal of course is not to get screwed.

My partner and I (yes, I do have a partner, brilliant one at that) have come up with a solution to the Trend Paradox. It is a mathematically defeatable problem. So there is hope!

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

Mini-Max: I had conjectured and then mathematically that there exists a point in which risk can be minimized and potential reward maximized for all entry exit set [E1,E2].

That was what.. 3 years ago?? 4 years ago? Don't remember now, will have to check my own old journal. But since then, a few people have PM'ed me with independent confirmations; and so all it takes a bit of hard work and some knowledge of calculus. I think like the 4 minute mile, once you know someone (and now, a few someones) have done it, it's doable.

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

The Cocaine Distribution Model: This is the crux of my trading system; and to this end; I have not been able to prove it true; but I have also not been able to prove it false; and it seems to hold up quite well. I think however my proof of averaging up might apply equally to this; but I am finding that my math skills are a bit lacking in the proof department; wish I paid more attention in college. Oh well. But the cocaine distribution model is still the most optimized model for distribution of anything; INCLUDING entry points and exit points. So far, I have not found a math system that is as optimized.

Those who have asked; my current system is in alpha stage; and is called "The Tardis" (named after the model of travel for us timelords). An upgrade from "The Fist". The Tardis uses the Cocaine Distribution Model, does not average up or down, defeats the trend paradox. I have not yet been able to come up with an optimized method for adjusting for bid/ask and slippage theft. But I believe there is an optimized equation for it as well.

I initially conjectured about optimizations of lot sizes using a Pascal's Triangle, and I was correct; since it inherently contains the golden ratio.

I now conjecture that interval optimization can be done by optimized Golomb Ruler. But I have yet to prove so.

Moving onto "e". My current conjecture proof that I'm working on is my conjecture of optimized profit curve growth based on "e". For every expectancy; there is an expected profit growth curve; but the question is; for every bankroll+position+open profit; is there an optimized trajectory? I believe that there is, and I believe that it can be found in "e" or more specifically in the "natural log".

Given a log system, log base 10, we can generalize it to a log system of log based x. Given that to be true; there must exist a number in which given a derivative of the curve (and thus an integral of the curve as well) there exists a number x in which the curve derived or integrated, is the curve itself. Mathematically, that is true and we know that number to be "e". And so log base e, allows for an easy proof and derivation and manipulation of numbers since the derivative of itself is itself. I am not sure because my math is just not that good; if that then qualifies as a "fractal" but it has fractal like qualities and is always guaranteed to be optimized. And so my conjecture of curve optimization says that we know that given a trajectory of profit for the bankroll + positions +open profits, there exists an optimized trajectory in which can be proven to be optimized because the derivation of itself is itself. Confusing I know; but the reason why I think this is important is because if this is true; then we know that the trend is thus sustainable. If you extract too much profit too quickly, it tells me that risk/reward was skewed and you got lucky; if you extract too little too slowly, bid/ask and slippage will eat you alive. Like a space shuttle on reentry, I maintain that there is exactly ONE trajectory for the given bankroll+positions+open profits. This then basically if proven to be true and equation controlled, becomes to automatic portfolio management mechanism.

Despite basically not posting for a few eons, I get PM'ed all the time to post something and so I will try to as much as possible. I do find that posting does help me remember things; and there is a lot to remember. But I want to send out a fair warning early:

THIS IS MY JOURNAL, IF YOU DON'T LIKE WHAT I SAY, THAT IS FINE, START ANOTHER JOURNAL TO REBUT ME, BUT PLEASE KEEP THE POSTS POLITE OR ELSE I WILL SHUT THIS DOWN.

With the shouts out of the way...

I begin usually by observation, and then making a grandiose assumption; formulating a theorem from it, and then setting about proving it or disproving it. So first, a quick update on theorems that I have proven and not proven or proven false.

I had initially said that averaging up was correct; I now would like to retract that. Not a full retraction, because compared to averaging down, averaging up is much better, but it's not mathematically optimized.

Given position A in the market: Averaging down is defined as entering more positions into a market when the market has turned against you (negative open profits).

Given position A in the market: Averaging up is defined as entering more positions into a market when the market has gone your way (open profits).

I now have the research and the math to back up both:

Given position A in the market; averaging down will asymptotically approach ZERO in expectancy as frequency or lot size increases.

Given position A in the market; averaging up will asymptotically approach ONE in expectancy as frequency or lot size increases.

So there, I have now made peace with the world as far as averaging up is concerned. It will NEVER push your expectancy over 1.0, it can't mathematically, but it at least will not pull you into the grave like averaging down will.

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

**The Trend Paradox:**The more data points there are, the more a trend is confirmed. But as the number of data points to confirm a trend increase; the likelihood of a trend ending increases exponentially.**Corollary: The Turkey Fallacy (a la Nassim Taleb)**: Everyday the turkey is not killed is a reaffirmation that it will not be killed; consequently, the confidence level of a turkey with respect to the trend of not being killed is highest the day before Thanksgiving.To all those that have PM'ed me asking me what I have been working on in terms of trading of FX; this is basically it. The Trend Paradox. I had conjectured that there is a method in which to defeat the trend paradox; but I had been working on it for quite a few years. So the problem in layman's trading terms looks like this:

If I enter too early without enough datapoints to establish a solid trend; then I have very low probability that it is a trend.

If I enter later; after enough datapoints establish a trend, the likelihood of that trend ending just after entering increases exponentially with increases in data points.

So kind of you are screwed if you enter early, and you are screwed if you enter late. The goal of course is not to get screwed.

My partner and I (yes, I do have a partner, brilliant one at that) have come up with a solution to the Trend Paradox. It is a mathematically defeatable problem. So there is hope!

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

Mini-Max: I had conjectured and then mathematically that there exists a point in which risk can be minimized and potential reward maximized for all entry exit set [E1,E2].

That was what.. 3 years ago?? 4 years ago? Don't remember now, will have to check my own old journal. But since then, a few people have PM'ed me with independent confirmations; and so all it takes a bit of hard work and some knowledge of calculus. I think like the 4 minute mile, once you know someone (and now, a few someones) have done it, it's doable.

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

The Cocaine Distribution Model: This is the crux of my trading system; and to this end; I have not been able to prove it true; but I have also not been able to prove it false; and it seems to hold up quite well. I think however my proof of averaging up might apply equally to this; but I am finding that my math skills are a bit lacking in the proof department; wish I paid more attention in college. Oh well. But the cocaine distribution model is still the most optimized model for distribution of anything; INCLUDING entry points and exit points. So far, I have not found a math system that is as optimized.

Those who have asked; my current system is in alpha stage; and is called "The Tardis" (named after the model of travel for us timelords). An upgrade from "The Fist". The Tardis uses the Cocaine Distribution Model, does not average up or down, defeats the trend paradox. I have not yet been able to come up with an optimized method for adjusting for bid/ask and slippage theft. But I believe there is an optimized equation for it as well.

I initially conjectured about optimizations of lot sizes using a Pascal's Triangle, and I was correct; since it inherently contains the golden ratio.

I now conjecture that interval optimization can be done by optimized Golomb Ruler. But I have yet to prove so.

Moving onto "e". My current conjecture proof that I'm working on is my conjecture of optimized profit curve growth based on "e". For every expectancy; there is an expected profit growth curve; but the question is; for every bankroll+position+open profit; is there an optimized trajectory? I believe that there is, and I believe that it can be found in "e" or more specifically in the "natural log".

Given a log system, log base 10, we can generalize it to a log system of log based x. Given that to be true; there must exist a number in which given a derivative of the curve (and thus an integral of the curve as well) there exists a number x in which the curve derived or integrated, is the curve itself. Mathematically, that is true and we know that number to be "e". And so log base e, allows for an easy proof and derivation and manipulation of numbers since the derivative of itself is itself. I am not sure because my math is just not that good; if that then qualifies as a "fractal" but it has fractal like qualities and is always guaranteed to be optimized. And so my conjecture of curve optimization says that we know that given a trajectory of profit for the bankroll + positions +open profits, there exists an optimized trajectory in which can be proven to be optimized because the derivation of itself is itself. Confusing I know; but the reason why I think this is important is because if this is true; then we know that the trend is thus sustainable. If you extract too much profit too quickly, it tells me that risk/reward was skewed and you got lucky; if you extract too little too slowly, bid/ask and slippage will eat you alive. Like a space shuttle on reentry, I maintain that there is exactly ONE trajectory for the given bankroll+positions+open profits. This then basically if proven to be true and equation controlled, becomes to automatic portfolio management mechanism.

google: