Developing & Backtesting Systematic Trading Strategies

[jack]

Not a horrible overview for people interested in getting into a more systematic approach.. maybe leading into full automation:

[link dead so removed]

 

[jack]

Essentially, all models are wrong, but some are useful. - George Box(1987)

 

[shopster]

Back-testing.

I hate it — it’s just optimizing over history. You never see a bad back-test. Ever. In any strategy.

Josh Diedesch(2014)

trade the bleeding right edge.

s

 

[jack]

Back-testing.

I hate it — it’s just optimizing over history. You never see a bad back-test. Ever. In any strategy.

Josh Diedesch(2014)

trade the bleeding right edge.

s

Personally I do a lot of walk-forward tests to vet ideas.. and I know you're not a fan of backtesting.

What does your process look like? Full discretion and using experience to know when to make adjustments?

 

[shopster]

jack,

at your level of trading, you should no longer be wasting time on this opto back or forward testing bull crap.

your process should be cast in stone.

each day is the same . get up , slay a few dragons, walk away.

the shit goes up, down and sideways.

period.

s

 

[vtrader21]

You can't trade "the hard right edge" without trading history. You know everything that is comes before on that chart?! You wouldn't know WTF to do where to take the trade.

 

[shopster]

" You can't trade "the hard right edge" without trading history..."

V21,

take the name off the top of the bar chart. they all go up, down and sideways.

why dont you show us " unwashed minions " how back testing and curve fitting past behavior will improve the hard right edge and post up some real $ stats to prove your hypothesis.

s