If I understand it right, then it has one big problem: I don't want to "punish" a strategy just because it made a lot of money at some point. I...
Alphatica Alis Studio has it as well. It's open source, so you can add any stats you want. Full disclosure: I'm the author. It's very MVP (but...
I have a few "modes" to trade different "version" of history: 1. Introduce random changes to prices (not too big, max around 10% of daily move) 2....
It certainly won't. But I've seen IV increase just before the end of the session, which may help my (hypothetical for now) position. Any other...
I'm wondering if this is at all tradable in real life? So I have this "market breadth" filter that can "tell" me when it's worth being long in SP....
The only reason why I would "bulk test" strategies is to see correlation between them to make sure that combining them gives better result than...
This sounds simple enough. Is there any publicly available backtest?
Thanks for your input, very valuable.
I wrote it for my self (I'm a software dev). It simulates real trading with capital constraints, so yeah, you can say that it "mixes" MM and...
Interesting take. I was wondering about adding some quirk to the backtest engine: pretend there is unlimited amount of money so that I never run...
When optimising parameters, I noticed something funny: a small tweak to just one value can drastically change the final result. This happens when...
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