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What Is Walk Forward Optimization?
One of the biggest issues with system development is that many trading strategies do not hold up into the future. This could be due to several reasons: The system is not based on a valid premise Market...
View ArticleStops – When Not to Use Them
Using a stop on a position is a very popular risk management technique used by traders. My research and experience has led me to believe they are appropriate for some – but not all – types of trades....
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Christmas Trade
With Christmas just around the corner, I thought it would be fun to see how the S&P behaves in the days just before Christmas. Do the days just before this holiday tend to be bullish, bearish or...
View ArticleStrategy Testing – Violating These Steps Will Damage Your Account
One of the most rewarding experiences for a TradeStation trader is to pick up a performance report that proves their great strategy idea is indeed a profitable strategy. Strategy testing done properly,...
View ArticleExploring Market Edges With Rob Hanna [video]
If I want to discover some interesting market studies I make a point to turn to Rob Hanna. Below is a link to a great 60-minute video presentation by Rob Hanna of Quantifiable Edges. Here Rob...
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Testing A Euro Currency Futures Scalping Strategy, Part 2
This is a second part of examining a scalping strategy for the Euro currency futures. In the first article, Testing A Euro Currency Futures Scalping Strategy, we introduced a simple shorting concept....
View ArticleCurve-fitting and Optimization
– By Michael Harris, Price Action Lab The subject of optimization and curve-fitting has received a lot of attention by trading system developers, especially during the last 10 years. There is a lot of...
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Best Times To Day Trade
If you are developing a trading system to trade intraday charts you might want to know when are the best times to day trade. This article is aimed at those who enjoy opening and closing a trade within...
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The Ins and Outs of Scaling Out
In general, scaling out means exiting part of your position at one price and part at another price. There may be several different exits for the same system. By comparison, scaling in means building a...
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Testing A Euro Currency Futures Scalping Strategy, Part 3
In the previous article, “Testing A Euro Currency Futures Scalping Strategy, Part 2“, we discovered a time based filter really improved the performance of the system. By eliminating the unproductive...
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Fooled by Randomness Through Selection Bias
– By Michael Harris, Price Action Lab There are software programs for traders that use some process that combines indicators with exit conditions for the purpose of designing systems that fulfill...
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Self-Study Plan for Becoming a Quantitative Trader – Part I
Quantitative trader roles within large quant funds are often perceived to be one of the most prestigious and lucrative positions in the quantitative finance employment landscape. Trading careers in a...
View ArticleSelf-Study Plan for Becoming a Quantitative Trader – Part II
In the previous article on studying to become a quant trader we touched on the importance of statistical and machine learning. Many of you contacted me in regard to the “state of the art” of such...
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Adaptive Asset Allocation: A True Revolution in Portfolio Management
Modern Portfolio Theory (MTP) has been derided by practitioners, academics, and the media over the past ten years because the dominant application of the theory, Strategic Asset Allocation, has...
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What Trading System Failure Means: Defining and Quantifying Strategy Failure,...
One of the most important aspects of algorithmic trading is the removal of trading strategies from live accounts when they fail. Knowing when a strategy fails is extremely important as it allows us to...
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A Statistical Method For Stop Placement
In the September 2012 issue of Futures magazine, author Neil Rosenthal began a multi-part series on system development. During the first series Neil uses MetaTrader 4 (MT4) to code a simple system and...
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System Performance and Confidence Interval
When you review the performance of a trading system, how do you know it’s worth trading? How do you know it’s the right system for you? How confident are you that it will continue to profit in the...
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Testing A Euro Currency Futures Scalping Strategy, Part 4
This is part four in our series on creating a Euro futures scalping strategy. In the last article, “Testing A Euro Currency Futures Scalping Strategy, Part 3″, we combined a volatility filter along...
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Comprehensive Guide to the Turtle Trading Strategy
Turtle trading is the name given to a family of trend-following strategies. It’s based on simple mechanical rules to enter trades when prices break out of short-term channels. The goal is to ride...
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