Category Archives for "System Trading"

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 […]

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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” […]

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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, […]

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Jul 01

Technique for backtesting intraday strategies

System Trading

The traditional way to backtest or develop strategies is to take a very long history and run your rules over that history. The objective is to find rules that produce stable or consistent returns. However, I have recently been experimenting with another technique for developing intraday strategies where I load from only a single to […]

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Jun 18

Quick tip: Manipulate Trade Cost For Insight

System Trading

Typically, I do not included trade costs in my initial exploratory work because I want to understand the general properties of a market which is best understood without imposing trade costs. Many times a strategy that shows promise but one that does not overcome trade costs can be improved to overcome those costs– but including […]

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