Numerical Computing specialist and author Timothy Masters joins us (in his only ever interview) to discuss trading strategy development and validation techniques, including: Why trading strategies fall apart in live trading, How luck impacts trading strategy results and the impact of selecting the … [Read more...]
114 – How to quickly identify when an edge has gone
Last week we reviewed a technique Kevin Davey shared to measure the effectiveness of entries and exits using something he calls ‘the monkey test’. This week we’re going to look at entries and exits from a slightly different angle: How can we measure a trading edge after we’ve entered a … [Read more...]
111 – Managing Monte Carlo
As systematic and algorithmic traders, we have a number of tools and processes we can use to test and validate trading strategies. For example, in-sample/out-of-sample testing, walk forward analysis, cluster analysis and a bunch more. (And don’t forget all the fancy named techniques that have … [Read more...]
082 – Machine Learning with Kris Longmore
Machine learning has seen a huge amount of growth over recent years with the increase in available data and processing power. It's an incredibly powerful toolset for uncovering patterns and relationships in data, however, these tools can be challenging to learn, apply correctly and are also open … [Read more...]
079 – Strategy Validation with Dave Bergstrom
With the toolsets we have available to us today it’s really quite easy to create a trading strategy by just mining market data. As we've just heard in that opening bit of audio and also from previous podcast guests too, if you try enough combinations you can find something that appears to work … [Read more...]
System Parameter Permutation – a better alternative?
By Dave Walton - Statistrade.com When I wrote my Wagner Award winning paper “Know your System! – Turning Data Mining from Bias to Benefit,” I had two goals in mind: Introduce a new method to reasonably estimate the long-run expected performance of a trading system, and Provide a simple … [Read more...]