The maximum drawdown has severe limitations when it comes to measure risk and should be used with cautions. I recommend you reading this paper...
Coming back to the strategy development framework... Some open questions and comments... * Can we design the entry conditions of a trading...
Thanks for the links, I did not know about this particular tool. I have developed something similar to analyze the entries of my trading systems...
I do not thing there is something wrong in training many models or testing many hypotheses on the same data set. But by trying many models or...
Thanks for your answers. Could you please clarify what you mean by "event profiler"? I am not familiar with this term. IMO the decay of the...
Thanks for sharing your trading system development framework. Do you have some success in identifying price patterns/regularities with this...
I am full-time retail forex trader since 2010 (More precisely, my computer is, because I am 100% automated). Over this period, I averaged 2.5%...
I trade with IB (very happy with this broker btw.) using their Java API + IB Gateway Client. I average a ping of 1 ms to IB servers (I am...
kut2k2, I have to say that being an engineer did not help me much for trading the markets, at least initially. I was overconfident and lost money...
Thanks for your answers. I fully agree with you that statistical significance is key in data mining for finance although it is completely ignored...
As an aspiring systematic trader, my assumption is that there must exist some "price patterns", or regularities which are profitable when traded...
Abattia, This is quite interesting. Could you please elaborate a bit on this? I have been trying to do analyse the edge of my entry signals...
Heeh, I found the book "Evidence-based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals" from...
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