Welcome to my online repository of research and insights on automated trading system development
in this world nothing can be said to be certain, except death and taxes. Arguing against Ben Franklin, I would say it is certain your (and my) Max Drawdown so far – whether in real trading or backtest – will be surpassed in the future. The maths even say that the probability of any drawdown [...]
Entries from May 27th, 2010
Slippage – Take 3: Stop-Limit Orders
May 20th, 2010 · 7 Comments · Backtest
Another slippage post inspired by a reader’s comment (thanks to Eventhorizon this time). Stop-Limit Orders The idea is to use stop-limit orders in the Donchian Channel system to avoid slippage. The stop-limit orders would prevent the system from buying/selling above/below the entry breakout level – thus reducing entry slippage. Of course, with daily data, it [...]
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Follow-up on Slippage
May 17th, 2010 · 7 Comments · Backtest
The previous post on slippage generated very good comments and I decided to address some of the points discussed in a follow-up post. Slippage and Long-Term Systems Last post concluded with a question: How can you reduce slippage as a small trader? You might not be able to reduce slippage in absolute terms, but you [...]
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Slippage: Are your back-testing results realistic?
May 10th, 2010 · 10 Comments · Backtest
Slippage can make or break your trading system. Hard to believe? Read on and check the tests and charts further below… We recently talked about some data pitfalls that can affect your trading and testing of mechanical systems. Slippage was not mentioned. However, this is a critical piece of data to integrate in your back-testing [...]
Tags: slippage·Trading Blox
April: a flat month for Trend Following
May 6th, 2010 · No Comments · the State of Trend Following, Trend Following
New month: new draft of the State of Trend Following report. April has been a slightly up-and-down month for Trend Following, and ended nearly flat. Let’s wait and see if this benchmark will keep in line with the Trend Following Wizards, as has been the case so far. Report Changes Still in beta, this report [...]
Tags: report
