fair enough. have you looked at maximum favorable and maximum unfavorable excursions on winning and losing trades? perhaps that could give you an idea where to exit (essentially) with a future or where to position the strike prices for an option.

<t>Other sources of fodder for thought are Robert Schiller's (Yale economist) two books "Market Volatility" and "Irrational Exuberance". Schiller has high credibility by virtue of calling the housing bubble about 1.5 years before it burst (2nd edition of "Irrational Exuberance"). The conclusion of h...

Brainstorming okay? Overlay a classification system to high-grade the trades, cut down on the total number and boost the win/loss ratio.

<t>the likelihood calculation stems from the the observation that the innovations process (actual measurement - expected measurement) has the property that each new sample is independent from the earlier ones. Therefore the likelihood or probability of the entire process is just the product of the g...