of my own. (This guards against subconscious biases: for instance, being risk-averse when I know my test dataset is 2008, or being risk-seeking in 2009). I designate one chunk as my calibration set. So I need to test an actual trading strategy using my model. If I had, I would have started my mean reversion trading several years earlier, which would have added several more years of large edges trading. Im paranoid about not exhausting my supply of uncontaminated out-of-sample data. A second proof of robustness is if the model works well no matter what trading strategy you build on top. In my optimization runs the best CAR went from lows 10s to the low 20s with this rule change. But for me it is always about testing.
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Continue reading April 25, 2018 One of the first tests I did when I got AmiBroker twenty years ago was a mean reversion test. The r forex trading general idea being that you get out when the strategy is doing poorly and get back in when it is doing well. Those trades are hard to take. The trade would enter when the stock crossed above the previous days high. Optimizers can be sensitive to initial conditions, so I use Monte Carlo to choose a number of starting points in the solution space. I have been using. Now I did not expect it to happen so soon or the way it did.