Tag Archives: backtesting

Fooled by Random Backtesting

Posted on May 20, 2013 by Michael Harris

Backtesting trading systems on historical data is again becoming popular almost 30 years after it started being used by individual traders due to recent advances in web technology and server speed that allows its online implementation. If one knows what … Continue reading →

Posted in Trading System Analysis | Tagged , , | Leave a comment

Another Example of How the Market Defies Indicator Common Sense

Posted on March 23, 2013 by Michael Harris

The market will defy, crash and punish naive use of technical indicators. Many investors and traders search for indicators that confirm their bias about future market direction and ignore those that do not confirm it. Market permabears are notorious for this behavior. … Continue reading →

Posted in ETF Analysis, Market Statistics, Technical Analysis | Tagged , , | Comments Off

The S&P 500 and NASDAQ-100 Divergence Shows a Divergent Bias

Posted on January 26, 2013 by Michael Harris

The current pattern of divergence between S&P 500 and NASDAQ-100 had a positive bias in the 1980s and 1990s but after 2000 the bias is negative. During all 5 times since 2000 that this pattern has occurred, a stop-loss of 3% was triggered … Continue reading →

Posted in Market Statistics, Technical Analysis | Tagged , , | Comments Off

Chaos in Technical Analysis and Backtesting – Part III: Split-adjusted Data

Posted on November 27, 2012 by Michael Harris

Parts I and II of the series Chaos in Technical Analysis and Backtesting discussed some of the problems that arise in the context of technical analysis and backtesting when using split and dividend adjusted data. In this post I discuss the … Continue reading →

Posted in Technical Analysis | Tagged , | Comments Off

Backtesting the p-Indicator

Posted on November 24, 2012 by Michael Harris

The objective of this article is to present backtesting results that demonstrate the potential of the p-indicator in providing a short-term trading edge. The motivation for the article was an email I received recently by a trader who asked about … Continue reading →

Posted in Price Action Lab Patterns | Tagged , | Comments Off

More on the Next Generation of Trading Systems

Posted on June 4, 2012 by Michael Harris

I received an email from someone who read my post “HFT is Not the New Generation of Trading Systems“, asking me whether I am “talking about quantum mechanics or something similar”. The short answer is no. The next generation of … Continue reading →

Posted in Trading System Design, Trading System Synthesis | Tagged , , | Comments Off

Two Variations of an Inside Day Pattern in SPY

Posted on April 20, 2011 by Michael Harris

As of the close of Tuesday, April 19, 2011, an inside day pattern formed in SPY daily chart.  An inside day formation occurs when the range of a bar falls within the range of the previous bar. The inside day pattern … Continue reading →

Posted in Technical Analysis, Trading System Analysis | Tagged , , , , | Comments Off

Chaos in Technical Analysis and Backtesting – Part II: More on Close vs. Adjusted Close

Posted on April 1, 2011 by Michael Harris

This is the second in a series of posts about the impact of data adjustments on technical analysis studies and backtesting, as well as, of the pitfalls of trading system development due to incompatibilities and/or conflicts between data series and analysis techniques. Use of … Continue reading →

Posted in ETF Analysis, Technical Analysis, Trading System Analysis | Tagged , , | Comments Off

Chaos in Technical Analysis and Backtesting – Part I: Close vs. Adjusted Close

Posted on March 23, 2011 by Michael Harris

This is the first in a series of posts about the impact of data adjustments on technical analysis studies and backtesting, as well as, of the pitfalls of trading system development due to incompatibilities and/or conflicts between data series and analysis techniques. Use … Continue reading →

Posted in ETF Analysis, Technical Analysis, Trading System Analysis | Tagged , , | Comments Off