Scientific approach to trading – algorithmic trading and testing on historical data Countless books have been published (and sold) about psychological aspects of trading which need to be mastered by all traders who want to generate stable and long-term profits. Of course, you have to adopt a proper trading psychology, but it’ll be useless if…
TradeStation Walk Forward Optimizer (WFO) is an advanced tool for optimising automated trading systems (ATS) which automates the very complex multilevel process of statistical Walk Forward testing of ATS input parameters (Inputs). Where the possibilities of most classical optimisation tests end WFO enables performance of set of walk-forward analyses on optimised In-Sample historical data against…
In the previous chapter we explained what the Walk Forward Analysis (WFA) is. Now we are going to add a much more complex analysis – the Cluster Walk Forward Analysis (CWFA). CWFA is a very sophisticated tool that helps us determine whether the automated trading system (ATS) is really robust, i.e. able to generate profits…
In this chapter I would like to focus on one of the biggest myths and misinformation about algorithmic trading that exists among novice traders. I am in contact with lots of beginners who are focused on discretionary trading and it is amazing how often they demonise automated trading systems (ATS). Yet I dare say that…
If there in the world of trading and investing exists something like a free lunch, it is clearly and solely diversification. Essentially, there is nothing so extensive, extended and mathematically described as in the field of classic investments as portfolio theory. There are even studies that are trying to prove that success in investments of…
This performance indicator has for investors about the same importance as Total Net Profit. Total Net Profit stands for reward, therefore monitoring it is of course essential in order to be profitable. Nevertheless many traders still somehow neglect the key role that maximum drawdown plays, even though this is the indicator of risk they are…
When you want to follow the rules of a consistent trading which are listed below, you must have not only the self-discipline and discipline, but also the faith in yourself. This may seem like an empty phrase and cliché. But I swear that I would sign under these 10 golden rules with my blood. It…
This chapter´s content follows the previous chapter in which we explained what the Cluster Walk Forward analysis (CWFA) is. Let´s recall that in the ideal case we are looking for a CWFA where all 30 Walk Forward analyses (WFA) pass the defined test criteria. In such case, the overall results for the given WFA include a…
In the previous chapter we addressed optimisation tests which are the essential tool for robustness testing. We spoke about the optimisation tests primarily in relation with the sophisticated software platform TradeStation. Another tool which I use very often in this platform and which I perceive as the platform´s major competitive advantage is the Cluster Walk…
I have met quite many traders lately who had very interesting ideas regarding building of automated trading systems (ATS) for algorithmic trading. Unfortunately, I often feel that many traders rely solely on the basic backtest result, as in the example of a trading system and its equity curve in Fig. 1. These days, there are…
Get the Handbook of Successful Exchange Trading COMPLETELY FREE OF CHARGE!
Our clients very praise its content, so we believe it can bring you some useful information from the world of algorithmic trading.