Welcome to my online repository of research and insights on automated trading system developmentRalph Vince’s book Handbook of Portfolio Mathematics has been shamefully lying untouched on my desk for a few months… I started reading it but never finished it.
I recently found a 30-page paper introducing the ideas and principles of his Leverage Space Model. I thought reading it might be a good way to get back into [...]
Entries Tagged as 'optimisation'
Vince’s Leverage Space Model: better than MPT?
March 22nd, 2010 · 27 Comments · Backtest, Money Management
Tags: distribution·leverage space model·optimal f·optimisation·ralph vince·research paper
Were the Turtles just lucky?…
March 8th, 2010 · 12 Comments · Strategies, Trend Following
Most people will have heard of the mythical Turle Traders, a group of novice traders set up and mentored by legendary “Prince of the Pit” Richard Dennis.
Dennis did so to set up an old argument with fellow trader Bill Eckhardt on whether trading could be taught or not (not unlike the story in classic [...]
Tags: eckhardt·optimisation·Richard Dennis·Trend Following·Turtle
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.
e’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 their [...]
Tags: bliss function·optimisation·robust
Bliss Function: Quantify your Trading System Objective
January 21st, 2010 · 1 Comment · 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 (it is [...]
Robustness? What robustness?
December 17th, 2009 · 5 Comments · Backtest
Stepping back from the story of the cockroach and the cheetah, it seems that robustness is all about survival. For an automated trading system, this means the system “survives and thrives” after you decide to put it “live”.
However there are different ways to look at robustness in a mechanical trading system.
Different definitions for robustness
Trading [...]
Tags: eckhardt·optimisation·robust
Amibroker V. TradersStudio: Speed comparison Fight
November 10th, 2009 · 2 Comments · Backtest, Software
It might not capture the imagination as much as the recent Haye v. Valuev WBA World Heavyweight Championship fight (it probably might for some of you… ;-) but I decided to organise my own “fight”: AmiBroker V. TradersStudio!
And similarly to the boxing, speed was of the essence – with one platform completely out-performing the other [...]
Tags: afl·amibroker·CSI·e-ratio·optimisation·performance·screenshots·tradersstudio
