jimmysnuka

Unreal. Do people not go deaf from the sound of the air coming into the exposed fuselage like that? I would have thought they'd be covering their ears or something.

Thanks. I've heard that yahoo finance historical price data is usually pretty accurate, but can get it wrong sometimes. Is there a better source for price data, or is yahoo finance good enough in your experience?

Fair point. Right now I'm just doing it as a hobby. I'm not going to be making any real trades for a while and even when I do I don't plan on making money from it (at least not for some time).

I caught the algotrading bug recently and I've been wanting to backtest a couple of strategies involving ETFs. Right now I'm only looking at the open, close, daily high/low. The problem however is that you have to account for dividends and splits, which I'm not sure how to do (Admittedly, I haven't looked too deeply into it). Any advice on how to do that? Let's say I want to backtest some strategy involving UPRO; would I be fine just using yahoo finance historical prices as is, or would I have to manipulate it in some way? Also, what would be the ideal backtesting software/service to use?

Admittedly, I'm not an expert at this stuff, but it seems like strictly using expected values to calculate optimum decisions can get you into some strange situations, like infinite expected value [1]. For some reason the author brings up lump sums vs annuities, which I don't think is at all comparable to betting (annuities from the US govt are guaranteed payments). That aside, a number of people have already mentioned Kelly criterion [2]. This strategy would tell you that you should take the guaranteed $1 million, but this is a long-run strategy. I personally would take the $1 million because it is guaranteed. I'm also not sure if relying on math for a one-off event like this makes sense.

[1] https://en.wikipedia.org/wiki/St._Petersburg_paradox [2] https://en.wikipedia.org/wiki/Kelly_criterion