Recent Content by Moataz Elmasry

  1. How influential has Perry J. Kaufman's work been to Algo Trading?

    I am currently going through one of this books and quite impressed with his knowledge and expertise. How come he isn't talked about more often in...
    Thread by: Moataz Elmasry, Jan 12, 2018, 10 replies, in forum: Automated Trading

  2. Doing opposite of what the model says

    Thanks for the link, I can conclude from that post that position parity can be considered another parameter in the strategy and hence reversing...
    Post by: Moataz Elmasry, Sep 8, 2017 in forum: Automated Trading

  3. Doing opposite of what the model says

    I agree with you, a strategy with concrete risk management rules is what everyone should aim for. The system was backtested on 3800 days worth of...
    Post by: Moataz Elmasry, Sep 5, 2017 in forum: Automated Trading

  4. Doing opposite of what the model says

    I admire your investigative skills. But no, this isn't for bitcoin, it's for futures.
    Post by: Moataz Elmasry, Sep 5, 2017 in forum: Automated Trading

  5. Doing opposite of what the model says

    I've already mentioned that this is purely from a positioning perspective - fees and slippage are ignored.
    Post by: Moataz Elmasry, Sep 5, 2017 in forum: Automated Trading

  6. Doing opposite of what the model says

    Yes, I have a strategy whose premise is prices converge, but it consistently loses money. If i reverse the positions by rewriting it so that it...
    Post by: Moataz Elmasry, Sep 5, 2017 in forum: Automated Trading

  7. Doing opposite of what the model says

    My questions disregards fees and slippage. I am talking purely from a positioning perspective. An example I've given is if a strategy expects the...
    Post by: Moataz Elmasry, Sep 5, 2017 in forum: Automated Trading

  8. Doing opposite of what the model says

    I agree with your statement that this could potentially constitute over-fitting. But for example, wouldn't you say that a losing model that...
    Post by: Moataz Elmasry, Sep 4, 2017 in forum: Automated Trading

  9. Doing opposite of what the model says

    Say you've written a strategy. During back-testing, you find out that the strategy is losing money on most of the positions it enters into. Is it...
    Thread by: Moataz Elmasry, Sep 4, 2017, 28 replies, in forum: Automated Trading