Systematic Trading research and development, with a flavour of Trend Following
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Entries Tagged as 'walk-forward'

R Code for Walk-Forward LSPM

December 23rd, 2010 · 8 Comments · Code

At the same time as Josh Ulrich was making some very good points on why to use R, over on his FOSS Trading blog, I was coming to the same realisation that it is a very neat, useful tool indeed. In this post, I’ll present the code I used for the last post on running […]

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Walk-Forward in Trading Blox: Back-Testing Adaptive Trading

September 8th, 2010 · 7 Comments · Backtest, Software

A few months ago, I got quite interested when Trading Blox announced that they introduced a new walk-forward functionality in their latest version. I just got round to upgrading, and giving that walk-forward testing a go. Amongst other things, some of the chart features have been improved – as can be seen in the eye […]

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Intricacies of Market and Trend Following Changes

March 10th, 2010 · 14 Comments · Strategies

In the last post we looked at the Turtle Trading system and saw that its performance went from outstanding for a long period of time to flat for 20 years. This opens a can of worms: Does Trend Following work, is it dead, do markets change, does trend following rules need to adapt to these […]

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How can Walk-Forward testing keep your system a step ahead?

November 5th, 2009 · 18 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 […]

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Should you be trading a chameleon?

November 3rd, 2009 · No Comments · Backtest, Strategies

Thanks to marfis75 for Mr. DJ Chameleon There are 2 approaches to systems parameters: Decide on a set of parameters for the strategy and stick to it Keep changing the system parameters based on the latest market conditions (chameleon approach) The chameleon method will inherently be lagging and, as a result, might not give you […]

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