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 ‘best’ trading system,
- Why trades in an out of sample dataset are NOT representative of future trades,
- 3 ways to use Monte Carlo Permutation tests in trading strategy development to avoid overfitting, evaluate strategy robustness and assess the quality of your strategy development process,
- The danger of using out of sample trades to compute the probability of drawdowns,
- Entropy and information of indicators and why it’s important to strategy development,
- How stationarity really impacts trading strategies and what strategy developers can do about it,
- Using Walk Forward to determine how robust a strategy is in the market,
- Incomplete Beta Distribution to track strategy deterioration,
- Bootstrapping, granular Profit Factor, the predictive ability of technical indicators, counter-trend trading and much more.
► Discover more from Tim at http://timothymasters.info
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