Tag Archives: curve-fitting

Curve-fitting and Optimization

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. Share

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

Backtesting Robustness Index

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

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

The Magic Formula Does Not Exit

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

Posted in Technical Analysis | Tagged , , | Comments Off

There is no Evidence that Counter-Trend Trading is Viable

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

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

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

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

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