Welcome to my online repository of research and insights on automated trading system developmentWishing you all a fantastic time off for this end of year!
Be it with friends, family, or any way you will spend it….
The Au.Tra.Sy blog will be no exception and go into a short “hibernation period”.
I certainly seem to have hit a (small) motivation “roadblock” and slowed down in my research/development of a trading system [...]
Entries from December 22nd, 2009
Joyeux Noel and Happy New Year!
December 22nd, 2009 · 2 Comments · Blog, Books, Off-track
Tags: xmas
Robustness? What robustness?
December 17th, 2009 · 5 Comments · Backtest
Stepping back from the story of the cockroach and the cheetah, it seems that robustness is all about survival. For an automated trading system, this means the system “survives and thrives” after you decide to put it “live”.
However there are different ways to look at robustness in a mechanical trading system.
Different definitions for robustness
Trading [...]
Tags: eckhardt·optimisation·robust
How discretion will kill you
December 11th, 2009 · 3 Comments · Strategies
Under this “dramatic headline” is a pledge to cut down discretionary trading and focus on systematic automated trading.
I think many traders (and I include myself) suffer from “bad” discretionary trading: entering a trade without a proper trading plan or system, only based on “gut feelings”.
I am no exception and have recently experienced being in trades [...]
Tags: discretionary
Price Distributions and Trend Following
December 8th, 2009 · 7 Comments · Data, Forex, Trend Following
I posited in an earlier post that fat tails are one of the main reasons why trend following works. The underlying concept can be summarized as follows: trend following attempts to capture big price moves (a.k.a. trends). Since price distributions are leptokurtic (i.e. they exhibit fat-tails) long trends occur at abnormal frequency, providing greater sources [...]
The Cheetah and the Cockroach: a robust story
December 4th, 2009 · 8 Comments · Backtest, Strategies
Anybody researching automated trading systems quickly comes to realise that robustness is very much a required aspect of any system. Robust systems are sturdy and able to withstand all that the markets can throw at them without collapsing in ruin.
To explore this further, let’s study the animal world with the Cheetah and the Cockroach – [...]
Tags: cheetah·cockroach·Michael Clarke·robust
