Introduction to Computational Finance and Financial Econometrics
Learn the foundations of computational finance with this free 10-week class. This looks like a great introduction to learning the programming language R for analysing and modeling financial data. It’s...
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Predictive-Model Based Trading Systems Part II
The fundamental idea behind predictive modeling is indicators may contain information that can be used to predict a forward looking variable, called a target. The task of a predictive model is to find...
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Firststrike Trading System
Every once in a while you run accross a free trading system while surfing the web. Often I don’t spend much time with these systems since, more often than not, most turn out to be worthless. I decided...
View ArticleAccount Undercapitalization is the Primary Cause For Trader Failures
– By Michael Harris, Price Action Lab About 11 years ago, I gave a presentation in a conference in New York City as an invited speaker. The audience was mostly comprised of inexperienced traders. A...
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Using TRIN To Create A Winning System
In this article I’m going to present another timing method that is 70% correct and consistently pulls money from both the S&P 500 market and the Mini DOW since 1997. The overall philosophy of the...
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Presentation of Genetic Programming For Predictive Modeling
Recently found this interesting 30-minute video on the use of genetic programming for predictive modeling. “I just finished a new tutorial on Predictive Modeling, Genetic Programming and Time Series...
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FRAMA – Is It Effective?
The Fractal Adaptive Moving Average aka FRAMA is a particularly clever indicator. It uses the Fractal Dimension of stock prices to dynamically adjust its smoothing period. In this post we will reveal...
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Risk-Based Position Sizing
Let’s start with a thought experiment. Let’s say we have two traders who are each given identical trading systems to execute on the SPDR S&P 500 ETF (SPY). Because both systems are identical...
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Testing A Euro Currency Futures Scalping Strategy
Scalping is something that intrigues many system traders. The challenge at taking small, consistent trades from the market daily while risking very little is appealing. With scalping it’s generally...
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FirstStrike Trading System, Part II
When testing a trading system I will often start looking at the big picture first. That’s why during part one of this series of articles I started with looking at a bull/bear regime filter. This filter...
View ArticleWhy I Hate Mondays…And You Should Too
I typically trade about 10 days per month to a schedule laid out as much as 6 or even 12 months in advance. Some friends asked me recently how I decide upon my trading schedule. What is the formula?...
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Measuring Extremes in the VIX
Looks like the VIX is reading an extreme level which might indicate a short-term top is near. Read more about it in this TradeStation blog post. A blog post about three months ago had a look at the VIX...
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Low-To-Close Euro Edge
I was recently looking at a daily chart of the Euro when I noticed something that has always been there but it never really caught my attention. Below is a chart of the Euro future contract. The days...
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High-frequency Trader Pushes Systems To The Edge
Jacob Loveless explains the technical issues when pushing high frequency trading systems to the edge of their capabilities. I am a former high-frequency trader. For a few wonderful years I led a group...
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The Deadly Double Divergence
Would you be interested in an indicator that has signaled ten market tops since 1966 without a single false signal? I read about such an indicator in an article titled “Double Divergences in the...
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Improving The Moving Average Crossover System
Let’s take a look at a simple moving average crossover system and see if we can improve it. Specifically, can we improve the moving average system’s performance by reducing the number of whipsaws...
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Market Seasonality Study
In a previous article, “First Of The Month Market Edge“, we took a look at an intraday strategy that involved entering a long position on the S&P at the opening of trading on the first day of the...
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Anatomy of $SPY on First Trading Day of the Month
Looks like System Trader Success is mentioned as a favored website by the Author of this new book entitled, “Anatomy of $SPY on First Trading Day of the Month”. Appears the book is an in-depth study of...
View ArticleThe nth Order Polynomial Acceleration Strategy, Part 1
In previous working papers we showed how the application of a price curve generated by second, third and fourth degree polynomial velocity could be used to develop a strategy to buy and sell intraday...
View ArticleThe nth Order Polynomial Acceleration Strategy, Part 2
This is the second part of a two part article on testing a polynomial acceleration strategy. You can read part one here. Finding The Strategy Input Parameters in The Walk Forward In-sample/test...
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