Monthly Archives: February 2017

Feb 26

Turbocharge Your Trading

Trader's Mindset

A recent Google study (or read Quartz’s summary here) on AI agents showed that AI agents acted aggressively in environments where competition was encouraged but collaborated when the environment fostered collaboration. Trading is ultimately competitive. As individual traders, our primary limiting factor tends to be a lack of capital. There are two basic risks for sharing ideas. The […]

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Feb 10

Discover Best Trading Rules with Perceptron Search

System Trading

Every system developer has a list of rules or indicators that they want to test out. The problem every developer faces is narrowing down that list of indicators and rules to the select few that are best worth focusing on. A quite similar and related problem that every developer faces is having some inputs or indicators that they […]

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Feb 10

A Loss By Any Other Name

Trader's Mindset

Phil Ivey is one of the great poker players. As cited by Wikipedia, he’s regarded by many as the best all-around poker player in the world. But, some may not know that his story is one of perseverance.  He blew out multiples of times as a teenager trying to make it as a pro. I think I […]

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Feb 10

One Metric to Rule Them All

System Trading

There are many metrics that can be used to evaluate a system’s performance. Of course, the best fitness function is the one that produces the best OOS performance. The most important metric might or might not be the best fitness function. On considering the most important metric: we have many reasonable candidates: total return, return/max dd […]

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Feb 09

WFA Failure Scenario

System Trading

We will introduce a somewhat hypothetical, but nonetheless realistic, walk forward analysis (WFA or WFO) scenario that returns poor results, and then we will suggest alternative strategies that might reveal much better results.  There are two common types of WFA; anchored which can use all the data and rolling. In this scenario, we are only considering […]

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Feb 09

Drop Out for OOS Sanity

System Trading

The vexing problem facing every system developer is the need to validate their backtest. One rigorous way to do that is to use walk forward optimization. However, an argument can be made that the alternative approach of taking all of the data into consideration can also make sense, and, in fact, some highly experienced system developers […]

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Feb 02

Misguided Idea Might Make It Difficult

Trader's Mindset

A Misguided Idea That Might Make it Difficult to Develop Very Profitable Systems I want to share a popular and misguided idea that might make it difficult to develop very profitable systems. However, in order to understand why the idea is misguided; we first have to understand why and how it makes sense and the […]

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