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Category Archives: Trading System Synthesis
The Secret to Profitable Trading
Regardless of your market and timeframe, profitable trading requires that the profit expectation is greater than zero. However, this is a requirement of profitable trading and not the secret as some book authors and academic types argue. The secret is finding … Continue reading
Posted in Trading System Design, Trading System Synthesis
Tagged expectancy, expectation, trading system design
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Automated Discovery of Trading Strategies
There are many ways of accomplishing automated trading strategy discovery. The idea is simple in principle: historical data is used to discover strategies that fulfill certain performance criteria. Implementing the idea is not a simple task, as certain approaches for solutions … Continue reading
Posted in Trading System Design, Trading System Synthesis
Tagged automated trading strategy discovery, Price Action Lab
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The Most Important Performance Measure of Trading Strategies
Shortly after my post on Kelly maximization I received a number of emails from traders who are developing systems but are, understandably so in my opinion, a bit confused about which performance criterion or criteria to use when evaluating them. I understand why those … Continue reading
Posted in Trading System Analysis, Trading System Design, Trading System Synthesis
Tagged genetic optimization, genetic programming, payoff ratio, profit factor, risk of ruin, trend following, win rate
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Maximizing Kelly is Equivalent to Maximizing Win Rate
My recent post on optimal trading using the Kelly formula has generated a lot of responses, questions and even challenges. A few readers have asked questions that, as they think, hide the key to the “holy grail” of investing and trading. However, as I … Continue reading
Posted in Trading System Analysis, Trading System Design, Trading System Synthesis
Tagged holy grail, Kelly formula, optimization, win rate
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What is Price Action Lab?
I receive several emails each day with questions about Price Action Lab, the program I use to identify price patterns and perform indicator calculations for my blog. The short answer is that Price Action Lab is a program that discovers automatically … Continue reading
Posted in Trading System Synthesis
Tagged automatic trading system discovery, p-indicator, Price Action Lab, price patterns
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Price Action Lab: Increasing the pattern search speed substantially
Due to the sequential nature of the pattern search, each index group of the 100 in the extended search mode of Price Action Lab must run on the same CPU. One solution is running multiple instances of the software each … Continue reading
Price Action Lab 1-Year Trial Now Available
As announced before sales of 2-year licenses of Price Action Lab were terminated as of June 1, 2011. Only open licenses are now available. An optional 1-year trial period of the program is available after the initial evaluation. No renewals of 1-year … Continue reading
Announcing the Release of PAL v2.0
Price Action Lab is pleased to announce the release of PAL v2.0. A major new addition to PAL v2.0 is the capability of automatic raw code generation in a text file from the search and database results for use as … Continue reading
An Inside Day Breakout in SPY? So What?
After the market close yesterday there were a number of references in various blogs to the inside day breakout in SPY. The inside day was formed due to the price action of last Friday and last Monday and then yesterday … Continue reading
Posted in Technical Analysis, Trading System Synthesis
Tagged inside day breakout, Price Action Lab, SPY
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Performance of Three S&P 500 Patterns From My 1999 Book
A few posts back I presented a basic introduction to price patterns. This post is an answer to those that claim that price patterns are random formations that fail immediately after they are employed in trading and thus have no … Continue reading
Posted in Trading System Analysis, Trading System Design, Trading System Synthesis
Tagged backtesing, Price Action Lab, price patterns, S&P 500 futures, Short-term Trading With Price Patterns
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