Welcome to my online repository of research and insights on automated trading system development
e-ratio is a metrics that measures the edge of a trading system component. For example, we could use it to quantify the edge gained from a donchian channel breakout entry signal. The concept The e-ratio quantifies the edge by calculating the overall amount trades go in your favor versus the overall amount trades go against [...]
Entries from October 30th, 2009
e-ratio: How to measure your trading edge in 4 easy steps
October 30th, 2009 · 17 Comments · Backtest
Are wizards really worth their fees?
October 27th, 2009 · 2 Comments · Strategies, Trend Following
You know the concept: you have some Cash saved up, you give it to one of the Trend Following Wizards, they give you a very decent return over the long run and take their share of the cake in return for it: EVERYBODY’s HAPPY! Or are they you?… Let’s explore the impact of fees charged [...]
Tags: fees·Trend Following
Snow White looking over your trading system?
October 23rd, 2009 · No Comments · Off-track
Introducing a new Category, Friday Funny: Every now and then, I come across something interesting or funny, not directly related to the topic of this blog. If I find them good enough and interesting for the target audience of this blog, I’ll post them here (in “off-track” category) – on a Friday, to end the [...]
Tags:
Why Trend Following works: look at the Distribution
October 21st, 2009 · 7 Comments · Strategies, Trend Following
One of the most important underlying concepts that contribute to the success of Trend Following is the fact that the strategy is based on the non-normality of market returns. Let me explain. Trend followers position themselves to profit from and capture the “fat tails” exhibited in market returns distribution. In a fat-tail distribution (Power law, [...]
Tags: dave harding·distribution·fat-tail·levy·mandelbrot·power law·Trend Following·winton capital
TradersStudio: the best Systems testing software?
October 19th, 2009 · 5 Comments · Backtest, Development, Software
I should say “Yes” as I decided to purchase, and now own TradersStudio. For the price ($499), it offers a very decent package for developing and testing automated trading systems. Why I chose TradersStudio I did consider a few options before buying TradersStudio (Amibroker, TradeStation, Trading Blox, WealthLab, NinjaTrader) and based on feature analysis, recommendations [...]
