Category Archives: Trading System Design

Performance of TFADAPT and PSI Trading Systems in 2015

The TFADAPT and PSI trading systems were not data-mined. The latter is based on a formula from a text on probability and stochastic processes and the former uses a trend detection method that takes into account volatility. Share

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Technical Analysis Has Contributed To A Massive Wealth Redistribution

Classical technical analysis has contributed to the largest non-violent wealth-redistribution in the history of mankind. Modern technical analysis is not doing any better. Share

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Forward Performance Of Two Machine-Designed Trading Algos

Last April I wrote an article where I introduced a strict validation method for machine-designed trading algos. This article includes  the forward performance of the trading algo in that article, as well as, of another algo that was machine-designed in … Continue reading

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Ruined by Hypothesis Testing

Hypothesis testing is often a naive way of assessing the significance of trading strategies because results are conditioned on historical data and can be plagued by multiple comparisons. This is the story of Don, an ambitious fund manager who got … Continue reading

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Counter-Intuitive Facts About Backtesting

One would think that by backtesting more ideas and more frequently, the chances of discovering an edge increase. However, the opposite exactly happens: the chances of discovering something of value diminish with frequent backtesting. Share

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Automatic Generation of Trading Algo Code in Price Action Lab Software

The new system code feature of Price Action Lab significantly improves the code generation capabilities of the software by allowing trading algo generation from any number of price patterns, long, short or both. Share

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Are Historical Data Prior to 2009 Obsolete for Developing Trading Systems?

I investigate the validity of claims that data prior to 2009 are obsolete for the purpose of trading system development. It is shown that a high proportion of profitable price patterns in more recent daily data maintain their profitability in past data. … Continue reading

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