bliss function | Au.Tra.Sy blog - Automated trading System

Au.Tra.Sy blog – Automated trading System header image 2

Au.Tra.Sy blog welcome

Welcome to my online repository of research and insights on automated trading system development
~Jez Liberty
Read more about the blog...
Futures Broker

Wisdom Trading, a Futures Broker who can Execute your Trading System and provide access to Global Markets and CTA's – all at great rates.
Recent Posts
Categories
- Backtest (42)
- Blog (15)
- Books (13)
- Code (11)
- Data (17)
- Development (5)
- Fund Review (13)
- Instruments (24)
  - Equities (5)
  - Forex (1)
  - Futures (22)
- Money Management (13)
- Off-track (11)
- Software (19)
- Strategies (26)
- Trend Following (268)
  - the State of Trend Following (116)
  - Trend Following Wizards (127)

Entries Tagged as 'bliss function'

Bliss recipe with a robustness spice

February 4th, 2010 · 2 Comments · Backtest

This post is trying to present a process to determine your bliss function, as a follow-up to the previous post introducing the bliss function concept. We’ve seen that the bliss function is not a universal function but needs to encapsulate your own criteria for evaluating a trading system. Similarly to popular dishes, everybody has got […]

[Read more →]

Tags: bliss function·optimisation·robust

Bliss Function: Quantify your Trading System Objective

January 21st, 2010 · 4 Comments · Backtest

Backtesting mechanical trading systems involves a great deal of optimization: testing and running a system across a myriad of parameters to choose the one(s) that produce the best results. But what is “best”? How do you measure best results, though? Compound Annual Growth Rate (CAGR) is one of the first metric that comes to mind […]

[Read more →]

Tags: bliss function·Ed Seykota·optimisation

Au.Tra.Sy blog, Systematic Trading research and development, with a flavour of Trend Following.

Disclaimer: Past performance is not necessarily indicative of future results. Futures trading is complex and presents the risk of substantial losses; as such, it may not be suitable for all investors. The content on this site is provided as general information only and should not be taken as investment advice. All site content, shall not be construed as a recommendation to buy or sell any security or financial instrument, or to participate in any particular trading or investment strategy. The ideas expressed on this site are solely the opinions of the author. The author may or may not have a position in any financial instrument or strategy referenced above. Any action that you take as a result of information or analysis on this site is ultimately your sole responsibility.

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN; IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK OF ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL WHICH CAN ADVERSELY AFFECT TRADING RESULTS.

THESE PERFORMANCE TABLES AND RESULTS ARE HYPOTHETICAL IN NATURE AND DO NOT REPRESENT TRADING IN ACTUAL ACCOUNTS.

© 2009-2012 Au.Tra.Sy blog – Automated trading System — Sitemap — Powered by Wordpress