Welcome to my online repository of research and insights on automated trading system development
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 […]
Entries Tagged as 'aronson'
Monte Carlo Permutation: Test your Back-Tests
August 18th, 2010 · 9 Comments · Backtest
Tags: aronson·monte-carlo
The Bootstrap Test: How significant are your back-testing results?
August 11th, 2010 · 31 Comments · Backtest, Books
As 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 […]
Tags: aronson·bootstrap·data mining
Evidence-Based Technical Analysis
August 5th, 2010 · 16 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 […]
