Welcome to my online repository of research and insights on automated trading system development
In the last volatility filters post we saw that trades from a simple Trend Following system (20-50 MA cross-over) had different expectancy based on the relative level of volatility at trade entry. This suggested that a filter blocking trades most volatile at entry (in the top decile: 90 to 100% of past volatility) would raise [...]
Entries Tagged as 'bootstrap'
A Different Application of the Bootstrap
September 28th, 2010 · 3 Comments · Backtest
Tags: bootstrap·volatility
The Bootstrap Test: How significant are your back-testing results?
August 11th, 2010 · 26 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
