Welcome to my online repository of research and insights on automated trading system developmentIn 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 changes?
Let’s [...]
Entries Tagged as 'walk-forward'
Intricacies of Market and Trend Following Changes
March 10th, 2010 · 13 Comments · Strategies
Tags: autocorrelation·distribution·kurtosis·michael covel·niederhoffer·Turtle·walk-forward
How can Walk-Forward testing keep your system a step ahead?
November 5th, 2009 · 12 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.
The way it works is fairly simple. It is a combination of multiple cycles of “in-sample optimisation” with “out-of-sample verification”.
Background on optimisation [...]
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 very good results. Think [...]
Tags: Bill Dunn·chameleon·walk-forward
