Category Archives: Strategy Synthesis

Developing Forex Trading Strategies With DLPAL

In this article we include an example of trading strategy development for the GBP/USD forex pair with the use of DLPAL software.

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Trading Strategy Development With DLPAL: Part Six

In this article we list some of the reasons DLPAL does not include in trading strategy synthesis exits based on number of bars since entry. An example is included.

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Trading Strategy Development With DLPAL: Part One

In this article we review a trading strategy developed with DLPAL and specifically the out-of-sample and forward performance using code generated for the Quantopian platform. The strategy outperforms the benchmark and year-to-date return is higher by about a factor of … Continue reading

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Open Vs. Close Predictors in Strategy Synthesis

We compare the out-of-sample performance of two predictors of price based on the close and open of daily data. We find that for the deterministic data-mining process used in the in-sample and for the markets tested, the out-of-sample performance of … Continue reading

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Developing A Trading Strategy For FANG stocks

The development of a trading strategy for FANG stocks was based on applying portfolio backtest validation during the identification phase. This was done for the purpose of reducing data-mining bias. This article outlines the steps followed and the results.

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Strategies With High Win Rate And Lower Payoff Ratio

Maintaining a constant profit factor while lowering the payoff ratio requires a strategy with higher win rate. In general, high win rate strategies are more difficult to develop but when combined with lower payoff ratio usually perform better during times … Continue reading

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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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Using Forex Data For Validating Trading Strategy Synthesis Algos

Forex is a zero-sum game and forex price series involve high level of noise caused by robots that operate in that market and a large number of unskilled traders. Thus, it is always challenging to validate trading system synthesis algos … Continue reading

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