I was recently asked by a reader how one could go about improving a system by using additional filters to apply to the system signals. Volatility filtering is something that was covered recently; but another “classic” filter is based on an extension of the concept of trading with the trend: by considering the higher timeframe […]
Entries Tagged as 'filter'
November 8th, 2010 · 4 Comments · Strategies, Trend Following
April 12th, 2010 · 5 Comments · Strategies
Non-stationarity of the markets… That old chestnut! Everything would be so much easier (boring?) if markets were not changing all the time… Non-Stationarity, is defined as a quality of a process in which the statistical parameters (probability distributions) of the process change with time. One of the consequences is that it might not make […]