Welcome to my online repository of research and insights on automated trading system development
I recently posted about the e-ratio as a tool to measure parts of a trading system (the code files to compute the e-ratio in TradersStudio and Excel are also available). The e-ratio is supposed to be a quick tool to check how signals might add some edge to a trading system. However computing the e-ratio [...]
Entries Tagged as 'optimisation'
How can Walk-Forward testing keep your system a step ahead?
November 5th, 2009 · 16 Comments · Backtest, Software
Out-of-Sample testing is a necessary practice to avoid curve-fitting during the optimisation of a trading system. Walk-Forward testing improves on the idea of out-of-sample data testing and is designed as an on-going, adaptive approach. Its invention is mostly credited to Robert Pardo (read more about it in his book) The way it works is fairly [...]
