My understanding is that swing trading is supposed to be able to pick turning points when a new trend is about to start. However I am not an...
Not true. It's certainly far better than fitting insample. As to whether it is overfitted that will depend on how robust the fitting method is,...
Trades Trades take 1 code contractid filled_datetime filledtrade filledprice 3100 AEX 201504 2015-03-26 13:32:31...
I generally put that sort of thing on my blog, it's not a python book. If you have any requests for bits of code you'd like to see ('handle...
Well the fitting I am doing here is portfolio allocation. So the non robust method is just doing a one period markowitz optimisation on all the...
You might be interested in an exercise I did recently on a 'toy' system. The fitting was deciding the weights to give to 4 trading rules, and to 7...
Nice picture! I'd personally call that 'rolling out of sample testing'. It's rolling, because we're using a fixed size window. Its definitely...
Thanks. Good to have some helpful people. As I said on my other post, for me it would be using my terminology: Observation & rule design,...
Anyway here is what I personally do, which will hopefully sidestep any arguments that are mainly about definitional disagreements.This works for...
Yes I have. And the advanced stuff as well. And I politely disagree that everything I said is incorrect, since it's clear that we're talking...
"Success in systematic trading is mostly down to avoiding mistakes: over complicating things, being too optimistic about likely returns, taking...
Suppose you backtest and don't like what you see. You're probably going to drop the rule, or modify it You shouldn't really take any action at...
Trades code contractid filled_datetime filledtrade filledprice 3086 CAC 201504 2015-03-25 11:24:37 -1...
If you backtest first the performance of your WFA will be massively overstated, since you're only testing stuff that you know already works. This...
Trades code contractid filled_datetime filledtrade filledprice 3070 AUS3 201506 2015-03-24 02:27:38 1...
I'm not sure what your motivation is in posting your strategy. You wanted advice (all of which I agree with), and you've got it. Fitting on one...
Todays trades: code contractid filled_datetime filledtrade filledprice 3057 AUD 201506 2015-03-23 07:25:55 1...
It's a very difficult one. To get anything like a straight answer is probably going to involve hiring a very expensive accountant, and that would...
They're not really 'articles' are they, its an advert for a trading system. The account curve shown is for simulated, not real, results; although...
What is your typical average holding period? If more than a week, no need to automate. I could run my system off a spreadsheet. But I'm too lazy...
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