Welcome to my online repository of research and insights on automated trading system developmentAs mentioned in the Evidence-based Technical Analysis review post, the main value of the book lies in the presentation of the two methods allowing for computing the statistical significance of trading strategy results, despite having a single sample of data:
Both methods solve the problem of estimating the degree of random variation in a test statistic [...]
Entries Tagged as 'Books'
The Bootstrap Test: How significant are your back-testing results?
August 11th, 2010 · 6 Comments · Backtest, Books
Tags: aronson·bootstrap·data mining
Evidence-Based Technical Analysis
August 5th, 2010 · 10 Comments · Backtest, Books
Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals
Today I’ll be talking about an excellent book, which was recommended on several “quant” blogs I read: Evidence-Based Technical Analysis by David Aronson. One of the main reasons I picked this book is because it teaches you to fish (instead of giving you [...]
A practical Guide to ETF Trading Systems
March 4th, 2010 · 5 Comments · Books, Strategies, Trend Following
It’s been four months since the last book review. I wanted to make book reviews a more frequent feature of the blog. Problem is I often start few books at once but struggle to finish them.
The book for today’s review is A Practical Guide to ETF Trading Systems by Anthony Garner, who is a Trend [...]
Stats… and Bill Eckhardt
February 8th, 2010 · 5 Comments · Books
Over the New Year break I read the illustrated Cartoon Guide to Statistics which was great to go over the basics of classical statistics, and the format makes it easy to pick it up for a few minutes reading. I have also been recommended, and bought Statistics Unplugged – which deals with the same topics [...]
Tags: eckhardt·Market Wizards·Stats
Joyeux Noel and Happy New Year!
December 22nd, 2009 · 2 Comments · Blog, Books, Off-track
Wishing 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 [...]
Tags: xmas
Covel’s Trend Following: A review
December 1st, 2009 · 15 Comments · Books
Before I start let me state that this book has raised some controversies.
However I really like it (I own two different editions of it) and I’ll explain why.
What this book is not
If you are looking for the Holy Grail of trading systems and/or a complete “turn-key” trading system: look elsewhere as this is not what [...]
Tags: michael covel·Trend Following
