Systematic Trading research and development, with a flavour of Trend Following
Au.Tra.Sy blog – Automated trading System header image 2

Entries Tagged as 'Ed Seykota'

Bliss Function: Quantify your Trading System Objective

January 21st, 2010 · 4 Comments · 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 […]

[

Tags: ··

What can the Whipsaw Song by Ed Seykota teach you?

October 9th, 2009 · No Comments · Off-track, Trend Following

Ed Seykota is a hugely succesful trend follower. He also keeps a very low-profile. You will not see him on CNBC, so any sort of public appearance where he can distil some of his wisdom is a rare “gift”. The main message of the song is to “stick to the rules” – which is a […]

[

Tags: ·