Category Archives for "System Trading"

Jan 19

Power ML Technique: Self-Learning From Trades

System Trading

In Murray A. Ruggiero’s “Cybernetic Trading Strategies”, a book that I think was ahead of its time, Ruggiero shared the concept for “nearest neighbor matching” for statistical pattern recognition. The concept was shared in the context of looking for market patterns and market analogs. However, I wanted to share a slight variation on this concept.¬†Instead […]

Continue reading
Jan 15

Better RSI Entries

System Trading

Mean reversion systems, such as those based on RSI, suffer significant performance degradation when stop losses are applied for risk control. In previous posts, I shared how one could could create more powerful RSI systems by using adaptive periodicity and multi-state regime classifiers. The key idea for better RSI entries is that there may be […]

Continue reading
Jan 22

All About Stop Losses

System Trading , Trader's Mindset

The topic is everything about stop losses. A stop loss is a kind of exit criteria. Typically, a stop loss is defined as a MAE price based stop. For systematic traders, the optimal stop can be determined during back testing. I have seen that stop losses near extremes tend to work better then “comfortably sized” […]

Continue reading
Jan 08

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

System Trading , Trader's Mindset

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
Dec 31

State Signals for Analyzing Bar-By-Bar Metrics

System Trading

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
Oct 15

Question From a Reader on WFA

System Trading

A reader, Z.S has a question on WFA. His question and my response follows: I struggling with WFO similarly to you in your article: https://beyondbacktesting.com/2017/02/09/wfa-failure-scenario/ Despite the fact WFO should bring verification to the development process it rather yields more uncertainty. Simply changing WFO insample and outsample periods or fitness functions the outsample changes wildly, […]

Continue reading
>