Tag Archives: data snooping

Is Your Hedge Fund Using Your Money To Test Trading Strategies?

Developing trading strategies is a tedious and time consuming task with a low success rate. Significance of results often cannot be inferred from historical tests and validation samples due to data snooping, especially when many trials are involved. As a … Continue reading

Posted in Quantitative trading | Tagged , , | Leave a comment

Machine Learning Rediscovered

Attempting to discover trading algos via machine learning is a dangerous practice because of the problem of multiple comparisons. Although some have recently rediscovered machine leaning applications for algo development, they usually avoid discussing the problems or fail to provide … Continue reading

Posted in Quantitative trading | Tagged , , | Leave a comment

Using Random Data to Test the Integrity of Machine Learning Algorithms

In a recent blog I argued that the chances of finding a profitable trading algo via machine learning are for all practical purposes zero due to the large data-mining bias. One method of checking machine learning algorithms for the generation … Continue reading

Posted in Quantitative trading, Strategy Synthesis, Trading Strategies | Tagged , , | Comments Off on Using Random Data to Test the Integrity of Machine Learning Algorithms

Quantitative Trading Software

Price Action Lab™ (PAL) is user-friendly software program that systematic and discretionary quant traders can use to discover trading strategies and identify high probability setups based on price patterns. Click here to download the free demo. PAL was developed after applying … Continue reading

Posted in Strategy Synthesis | Tagged , , , | Comments Off on Quantitative Trading Software

Adaptive Trend-Following Performance

This is a report of the performance of TFadapt, a trend-following system that adapts to changing market conditions, on historical data of 8 different international indices since the start of 1990. The outstanding and statistically significant performance of this system  in SPY … Continue reading

Posted in Trading Strategies, Trend following | Tagged , , | Comments Off on Adaptive Trend-Following Performance

Fooled By Out of Sample Testing

Developing trading systems on an in-sample of historical data and then testing the results on an out-of-sample is a widely used practice that hides some fundamental flaws. In this article I list some of the problems that may arise from the wrong application of … Continue reading

Posted in Price Action Strategies, Strategy Synthesis, Trading Strategies | Tagged , , , , | Comments Off on Fooled By Out of Sample Testing