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Webinar: FuturesTrader71 (FT71) on Statistical Analysis for a Broader Edge
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Webinar: FuturesTrader71 (FT71) on Statistical Analysis for a Broader Edge

  #11 (permalink)
 Vendor: diversifyportfolio.com 
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Just finished the recording and as always there was lots of great stuff to be learnt from FT71.

One thing that I think is important to keep in mind, which FT71 highlighted, is the importance of gathering YOUR OWN stats and proving or disproving edges for yourself. Dont just take someone else's stats as gospel and trade based on it.

If someone tells you that X has a 70% probability of happening. How did they get to that conclusion? What is their sample size? What time frame was the analysis performed on? etc...

Diversification is the only free lunch
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I was only able to catch the first hour or so before my phone died so I need to watch the remainder of the webinar, but I thought it was great. He showed that if you have the right data feed, a little Excel formula knowledge, and a beginner's knowledge of stats you can put together a helpful study without making it your life's work. I appreciated his candor here about what constitutes a statistical edge and what does not.

I suspect a lot of people over-engineer this stuff and put too much focus on it in an attempt to subconsciously avoid actual trading. As Einstein said, make things as simple as possible, but no simpler.

As always, thanks to FT and Big Mike for this one.

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  #13 (permalink)
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Self Study


Thanks to FT for his excellent webinar. If you want to dig deeper into the power of excel then i can recommend you 3 books, which have satisfied all of my needs. I make all of my analysis in excel and it's really worthwhile to learn all of the tricks to visualize your data efficiently. Your trading plattform will never give you these level of freedom.

1. Statistical Analysis: Microsoft Excel 2010 (Que)
2. Professional Excel Development - Second Edition (Addison Wesley)
3. Excel 2007 Charts(Wiley)

Koepisch

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It was really good, I am just not sure how to extract data from NinjaTrader in the way it was done with RT.

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Thrax View Post
It was really good, I am just not sure how to extract data from NinjaTrader in the way it was done with RT.

Take a look here:
https://futures.io/download/ninjatrader-7/misc/339-download.html?view

Also:
https://futures.io/download/ninjatrader-7/misc/307-download.html?view

Definitely not as easy as IRT but it will do the job with some basic knowledge of NinjaScript.

Mike

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Great webinar guys. I only managed to catch the 1st 45 mins, just caught the rest on the recording.

Great presentation, really got me thinking. Thanks FT71 and BigMike.

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Big Mike View Post
Thank you to @FuturesTrader71 for the webinar and his time, and congratulations to the 10 book winners:

@westmalle, @Nikos314159, @Thrax, @Koepisch, @TraderXx, @stockpapa, @jeroen001, @DPalkowitsh, @jthomas, @stang3O2

I will contact you shortly to arrange to get the autographed book in your hands.

I have sent the info to @FuturesTrader71 for all the book winners. He will autograph and mail out. I would expect the process to take approximately 2-3 weeks.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #18 (permalink)
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The Pitfalls Of Research

I enjoyed watching FT's webinar as I was involved in research using excel and "R" about 5 years ago.

We were studying a certain phenomena (13 years of data) and have indeed proved that it occurs 63%-67% of the time.

A few things for future "quants" ...

1. Depending of what time frame and how refined you want your data - make sure it's CLEAN!!! You can find your self spending numerous hours cleaning data! We saw a major discrepancy between various data providers especially when it comes to TICK data. This thing alone can SKEW your whole research!!!

2. Excel will eventually crash when you get to "Big Data" / Large data sets - now you are going to need major databases - and maybe even think of non RDBMS ones.

3. As FT said - at a certain point - you realize you can spend your whole life in research and not trading

4. Indeed per FT's comment - having a 67% or event 80%+ probability on your side does NOT mean you are going to be consistent! R:R , expectancy etc are Major things to consider ...we used to call it the "HEAT FACTOR" ...how much heat are you willing to endure until your statistical edge shows its face

5. Once you throw AI and machine learning into the mix - well....that brings challenges of its own....the major issue is "What Questions Do You Ask the Machine" - in retrospect - its more important to define the questions then the data itself (Im exaggerating off course )

This kind of reminds of the movie/book "Hitchhikers Guide to the Galaxy" ...if my memory serves me right - they build a super computer and wait centuries for an answer about what is life - and then get some NUMBER - BUT WHAT DOES IT MEAN ?

This is not meant to take the wind out of anyone sails - just to put some perspective on all things statistical.

Sagi (Steven)

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42



Sent from my Nexus 4

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #20 (permalink)
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haha...you caused me to google the number and the title...found some interesting data - see below.

Also, correction to my original post : "One would find himself spending numerous Weeks (not hours) cleaning data"

=====================
Being Jewish - I found the Judaism explanations intriguing ...

In Japanese culture, the number 42 is considered unlucky because the numerals when pronounced separately "shi ni" (four two) sound like the phrase, "unto death".[12]
There are 42 principles of Ma'at, the Ancient Egyptian personification of physical and moral law, order, and truth. In the judgement scene described in the Egyptian and the Book of the Coming/Going Forth by Day (the Book of the Dead (which evolved from the Coffin Texts and the Pyramid Texts)), there are 42 gods and goddesses of Egypt, personifying the principles of Ma'at. These 42 correspond to the 42 Nomes (Governmental Units) of Egypt. If the departed successfully answers all 42, s/he becomes an Osiris.
42 is the number with which God creates the Universe in Kabbalistic tradition. In Kabbalah, the most significant name is that of the En Sof (also known as "Ein Sof", "Infinite" or "Endless"), who is above the Sefirot (sometimes spelled "Sephirot").[13] The Forty-Two-Lettered Name contains four combined names which are spelled in Hebrew letters (spelled in letters = 42 letters), which is the name of Azilut (or "Atziluth" "Emanation"). While there are obvious links between the Forty-Two Lettered Name of the Babylonian Talmud and the Kabbalah's Forty-Two Lettered Name, they are probably not identical because of the Kabbalah's emphasis on numbers. The Kabbalah also contains a Forty-Five Lettered Name and a Seventy-Two Lettered Name.
The number 42 appears in various contexts in Christianity. There are 42 generations (names) in the Gospel of Matthew's version of the Genealogy of Jesus; it is prophesied that for 42 months the Beast will hold dominion over the Earth (Revelation 13:5); 42 men of Beth-azmaveth were counted in the census of men of Israel upon return from exile (Ezra 2:24); God sent bears to maul 42 of the teenage boys who mocked Elisha for his baldness (2 Kings 2:23), etc.
In Judaism, the number (in the Babylonian Talmud, compiled 375 AD to 499 AD) of the "Forty-Two Lettered Name" ascribed to God. Rab (or Rabhs), a 3rd-century source in the Talmud stated "The Forty-Two Lettered Name is entrusted only to him who is pious, meek, middle-aged, free from bad temper, sober, and not insistent on his rights". [Source: Talmud Kidduschin

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