Tag Archives: curve-fitting

Backtesting Robustness Index

Posted on February 2, 2013 by Michael Harris

In this post I introduce the general form of the Backtesting Robustness Index (BRI) I have developed and I give an example of its application to price patterns. This robustness index provides just another way of dealing with the notorious problems … Continue reading →

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The Magic Formula Does Not Exit

Posted on January 21, 2013 by Michael Harris

Trading is much more than some magic formula which does not exist by the way. I know that right at this moment thousands of technical traders are looking for this formula by exhaustively trying combinations of indicators or algorithms they have devised. … Continue reading →

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There is no Evidence that Counter-Trend Trading is Viable

Posted on November 7, 2012 by Michael Harris

Trend-following is a very popular trading method employed by funds, longer-term investors and even mechanical and discretionary traders. This method of trading is compatible with common sense and its success has been verified in practice by multi-year performance records showing exceptional … Continue reading →

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Fooled by Multiple Comparisons When Developing Systems For Single Securities or Portfolios

Posted on August 31, 2012 by Michael Harris

The idea that systems developed on historical data of a portfolio of securities have better chance of being non-random as compared to systems that are developed for a single security is based on the assumption that the size of the rule set used in the data-mining … Continue reading →

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Fooled by Randomness Through Selection Bias

Posted on June 30, 2012 by Michael Harris

There are programs available to traders that mix and match indicators with exit conditions for the purpose of designing systems that fullfil desired performance criteria and risk/reward objectives. Due to the inherent randomness in the algorithms of these programs their output varies … Continue reading →

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Automated Discovery of Trading Systems

Posted on June 25, 2012 by Price Action Lab

There are many ways of accomplishing automated trading strategy discovery. The idea is simple in principle and I have described it in more detail in my (out-of-print) books since 1999. In a nutshell, historical data series are used to discover robust … Continue reading →

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Trailing Stops and Curve-Fitting in Trading System Development

Posted on June 17, 2012 by Michael Harris

Traders use a trailing stop to let profits run and cut losses. This type of order sets a suitable stop-loss order at a percentage below (above) market price after a long (short) position is established. The intention is to limit losses while preserving profits. This … Continue reading →

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Curve-fitting and Optimization

Posted on September 7, 2011 by Michael Harris

The subject of optimization and curve-fitting has received a lot of attention by trading system developers, especially during the last 10 years. There is a lot of confusion about this subject and different views, some even conflicting. There are those who claim that … Continue reading →

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