Converting a quantitative system into a graybox

Let's imagine you have a profitable system already and you want to see if you can improve the results by using discretion or maybe you have a quasi-defined strategy that you think could work with discretion. Below, I list steps you might take to go about the conversion to increase your probability of success: Decrease … Continue reading Converting a quantitative system into a graybox

Pathway to Failure: Why most trading systems might be “setup” to fail

One possible reason that most trading systems fail is that they never had a chance in the first place. You see most retail trading development environments like Tradestation and Ninjatrader predominantly support defining a trading system using only one technique and that technique is basically hand crafting decision trees using structured programming language. On the … Continue reading Pathway to Failure: Why most trading systems might be “setup” to fail

State Signals for Analyzing Bar-By-Bar Metrics

Dr. Howard Bandy encourages using "state signals" versus "impulse signals" when developing and analyzing systems. My understanding of a state signal is that it is a continuous signal for every bar that defines the state of the trading system, example "be long", or "be short", or "be flat". Traditional indicators are defined as "impulse signals" … Continue reading State Signals for Analyzing Bar-By-Bar Metrics