Welcome to my online repository of research and insights on automated trading system developmentA few months ago, I got quite interested when Trading Blox announced that they introduced a new walk-forward functionality in their latest version. I just got round to upgrading, and giving that walk-forward testing a go. Amongst other things, some of the chart features have been improved – as can be seen in the eye [...]
Entries from September 8th, 2010
Walk-Forward in Trading Blox: Back-Testing Adaptive Trading
September 8th, 2010 · 2 Comments · Backtest, Software
Tags: Trading Blox·walk-forward
the State of Trend Following in August: good performance
September 6th, 2010 · No Comments · Trend Following, the State of Trend Following
Back to blogging with a new edition of the state of Trend Following report. August seems to have been pretty good to Trend Followers, with the composite index of the 12 “control” Trend Following systems included in this report showing a return of +8.08%, with most systems posting gains for the month.
Detailed Results
Below is the [...]
Tags: report
Au.Tra.Sy blog Summer Break
August 20th, 2010 · 1 Comment · Blog, Off-track
It’s nearly the end of the Summer and I hope you enjoyed a nice time. The blog will go on a short break until the end of August, while I (hopefully) enjoy some good weather in the French Cevennes and the English Lake District.
In the mean time, I’ll leave you with a link to a [...]
Tags:
Monte Carlo Permutation: Test your Back-Tests
August 18th, 2010 · 2 Comments · Backtest
The second method to evaluate the statistical significance of a back-test result presented by Aronson (in EBTA) is the Monte Carlo Permutation. This is an extension of the classic Monte Carlo method, applied to rule testing.
The concept behind the Monte Carlo Permutation is similar to the Bootstrap method:
Generate multiple random outputs based on the single [...]
Tags: aronson·monte-carlo
Bootstrap – Take 2: Data Mining bias, Code and using geometric mean
August 13th, 2010 · 7 Comments · Backtest, Code
In part 1 of this bootstrap post, we looked at how to apply the method to establish the statistical significance of a single trading rule. In Part 2, we’ll look at how to deal with the data mining bias, the impact of geometric vs. arithmetic mean return. The code implementing the bootstrap test is available [...]
