Tag Archives: cross-validation

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

Posted in Strategy Synthesis | Tagged , , , , , , | Leave a comment

Deterministic Machine Design of Trading Systems With Strict Validation

A high win rate trading system for SPY was machined designed using a deterministic method and a simple predictor of price.Validation of in-sample results was performed on out-of-samples of SPY and of an anti-correlated security.

Posted in Quantitative trading, Strategy Synthesis | Tagged , , | Comments Off on Deterministic Machine Design of Trading Systems With Strict Validation

Price Action Lab Alert for Thursday, August 23, 2012

This alert is about signals in two Dow-30 stocks, one long and one short. The new portfolio backtesting feature of Price Action Lab is used for cross-validation of the results.

Posted in Price Action Lab Alerts, Price Action Lab Patterns | Tagged , | Comments Off on Price Action Lab Alert for Thursday, August 23, 2012

Short Signals in DIA That Are Common to SPY and QQQ

I call common patterns those that form in one or more securities that belong to a pre-defined group but are profitable in the history of all securities in the group. Here I discuss short signals received for the open of Thursday, August 16, … Continue reading

Posted in Technical Analysis | Tagged , , , | Comments Off on Short Signals in DIA That Are Common to SPY and QQQ

New Key Features Added to Price Action Lab

The new features that will be part of the next major version release of Price Action Lab will include portfolio backtesting for cross-validation purposes. Specifically, starting with the next version release, Price Action Lab will allow portfolio backtesting of single patterns … Continue reading

Posted in Price Action Lab Patterns | Tagged , , | Comments Off on New Key Features Added to Price Action Lab

Price Action Lab Alert for Monday, August 13, 2012

This alert is about a long pattern in SPY. Portfolio backtest is used for cross-validation purposes. The alerts are for users of Price Action Lab and are fully reproducible. There is no randomness involved in the output of Price Action Lab.

Posted in Price Action Lab Alerts | Tagged , | Comments Off on Price Action Lab Alert for Monday, August 13, 2012

Portfolio Backtest and Cross-validation of Machine Designed Trading Strategies

It is easy for trading system developers to be fooled by randomness especially when the underline process that is used for discovering the trading systems is in itself inherently random. Out-of-sample testing is not enough to guarantee statistical significance of any results obtained because … Continue reading

Posted in Price Action Lab Patterns, Strategy Synthesis, Trading Strategies | Tagged , , | Comments Off on Portfolio Backtest and Cross-validation of Machine Designed Trading Strategies