Welcome to my online repository of research and insights on automated trading system development
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. We’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 […]
Entries Tagged as 'robust'
Bliss recipe with a robustness spice
February 4th, 2010 · 2 Comments · Backtest
Tags: bliss function·optimisation·robust
MMDI Portfolio Filter in Trading Blox
February 2nd, 2010 · 4 Comments · Backtest, Futures, Software, Strategies
David Varadi, from the very good CSS Analytics blog, pointed me to his interesting findings on a Mean Median Divergence Indicator (MMDI) he devised as a replacement to the standard MACD. I wanted to test the MMDI as a follow-up to Moving Median: a better indicator than Moving Average?. This also provided a good opportunity […]
Moving Median: a better indicator than Moving Average?
January 14th, 2010 · 15 Comments · Futures, Strategies
While searching for robustness, you might come across the term of robust statistical estimator: the median, for instance, is a robust measure of central tendency, while the mean (average) is not (the latter is much more sensitive to outliers). Robustness in trading is a tough beast to tame and understand. The more “robust” the research […]
Tags: average·comparison·crossover·median·performance·robust·Trend Following
Robustness? What robustness?
December 17th, 2009 · 8 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 […]
Tags: eckhardt·optimisation·robust
The Cheetah and the Cockroach: a robust story
December 4th, 2009 · 8 Comments · Backtest, Strategies
Anybody researching automated trading systems quickly comes to realise that robustness is very much a required aspect of any system. Robust systems are sturdy and able to withstand all that the markets can throw at them without collapsing in ruin. To explore this further, let’s study the animal world with the Cheetah and the Cockroach […]
Tags: cheetah·cockroach·Michael Clarke·robust
