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Explore the research behind our trading, plus some just-for-fun stuff....

Posted on Oct 27, 2015 by Kris Longmore
3 comments.
410 Views

In the first part of this article, I described a procedure for empirically testing whether a trading strategy has predictive power by comparing its performance to the distribution of the performance of a large number of random strategies with similar trade distributions. In this post, I will present the results of the simple example described by the code in the previous...

Posted on Oct 18, 2015 by Kris Longmore
5 comments.
797 Views

Picture this: A developer has coded up a brilliant strategy, taking great care not to over-optimize. There is no look-ahead bias and the developer has accounted for data-mining bias. The out of sample backtest looks great. Is it time to go live?    I would've said yes, until I read Ernie Chan's Algorithmic Trading and realised that I hadn't adequately accounted...

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