Matstat Econometrics Matan - page 33

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Maxim Kuznetsov #:

rollover be considered a separate deal (which is pretty much what it is)

and the rollover will quickly roll off the pedestal 100%

That's a thought. A long trade contains several day trades and each with its own result.

 
Доктор #:

The simplest measure ofequity stabilityis RF.

I just wanted to write, plus it is suitable for any TS, including portfolio TS.

 
Доктор #:

The simplest measure ofequity stability isRF.

What are you basing that conclusion on? It's a non-robust metric. One trade can change it drastically.
 
secret #:
One trade can change it drastically.

If this happens, can we tweak the conservatory? and win% by itself does not even show whether the strategy is profitable. and it won't change much if a black swan suddenly arrives, why do we need such an indicator at all?

 
Andrei Trukhanovich #:

If this is happening maybe the conservatory needs to be tweaked? and win% by itself does not even show if the strategy is profitable. and it won't change much if a black swan suddenly arrives, why do we need such an indicator at all?

Why it's needed is written here:
and the WHR by definition is not statistically analyzable. This is the harsh reality of trading)
A loss on the PL does not mean the system is bad.
 
secret #:
What are you basing that conclusion on? It's a non-robust metric. One transaction can change it drastically.

Well, if one transaction can change it drastically, TC is so-so. Which is what the RF will alert you to.

 
Доктор #:

Well, if one transaction can change it drastically, TC is so-so. Which is what RF will alert you to.

No system can foresee a PM.
 
Should we call a black swan the onset of a margin call used as a stop loss?) I think Taleb meant something else)
 
secret #:
A loss on the CHL does not mean that the system is bad.

It just exemplifies the inferiority of win% as an indicator. Well, the stability of equity is much better in FS, if you ask me

If one trade drastically affects performance, it is worth reconsidering the TS
 
OK, there's no point in discussing it)
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