Tag Archives: backtest

Will Expectancy and Prospect Theory help in backtest failure 

 

Will Expectancy and Prospect Theory help in backtest failure

This is from my virtual Meetup below but this was suggested to improve this back testing process:

prospect theory 

http://www.vantharp.com/tharp-concepts/expectancy.asp

This all comes from this posting

Does this make sense? Or what would you suggest ? Comment in the Youtube video section.

 

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quant and machine learning useful after this trading backtest

 

 

Is quant and machine learning useful after the test? I made a 35 minute video to showcase my latest results of this forex trading strategy. It uses the combo indicators of moving average cross, statistic number of positive daily returns, and trend. This combo of indicators can be helpful as explained in the video.

NOTE: I have scheduled a webinar to be discussed about this topic. Please find the details below. 

It seems that there is a heavy reliance on these for ‘bottoming’ process or testing of flat lining for breakout potential.

Trade like the Pros

I tried to simulate someone like NicTrades later in my video to showcase potential moves with lower trending currency pairs. In short, it seems everything is about perfect timing. You would use all the mentioned indicators as a set of tools to measure timing and historical value of the price. The idea is obviously to capture breakout opportunities for escape volatility return.

It is time to get into the mind of an institutional pro to see how they decide and filter out the trading opportunities. So the struggle continues….. I find NicTrade is a good analyst to watch to see how it is done.

Overlay with fundamentals?

Some will say the fundamentals are not useful. For instance, you could use central bank guidance and trading/econometrics forward looking date to get currency bias on certain countries. I have many scripts ready to overlay. I just need to get a predictable methodology using the technical analysis.

Is Quant and Machine Learning helpful at this point

Some may argue that quant and machine learning techniques may help in this area. I agree but when you do not have a solid foundation, you will even harder times to forecast the markets. I really don’t want to go down these paths of quant or ML is much harder to figure out.

 

 

Scheduled webinar info

Hi there,

You are invited to a Zoom webinar.
When: Mar 19, 2018 7:00 PM Eastern Time (US and Canada)
Topic: quant and machine learning useful after this trading backtest

Please click the link below to join the webinar:
https://zoom.us/j/556419907

Or iPhone one-tap :
US: +16699006833,,556419907# or +16465588656,,556419907#
Or Telephone:
Dial(for higher quality, dial a number based on your current location):
US: +1 669 900 6833 or +1 646 558 8656
Webinar ID: 556 419 907
International numbers available: https://zoom.us/zoomconference?m=qWa8YsDmCbVsahKNI0p7Ejnd9JYqUR_a

Add OHLC Bar Data To Your Algo Strategy

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Results of backtest for forex trading portfolio optimization

Results of backtest for forex trading portfolio optimization

I will be posting a walkthrough video of this script for about 48 hours for my members

Become a Quant Analytics member

Order Analytics

 

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Backtest with combined R and Python

Backtest with comibines R and Python

 

I just read Ivan P’s latest article over at http://www.quintuitive.com/. He mentioned the different backtesting options of Quantopian and QuantConnect. I have no issue with either but I then started think of the different combos of Python and/or R combined. I even thought about 100% Python backtesting framework. Here are a bunch of article below:

 

Backtesting – Tool Review

https://hci-algotrading.com/hci-algo-day-trading-187-13-days-weekly-performance-report-17-february-2017/

http://pmorissette.github.io/bt/

http://gbeced.github.io/pyalgotrade/

https://timtrice.github.io/backtesting-strategies/

http://blog.fosstrading.com/2011/03/how-to-backtest-strategy-in-r.html

https://www.r-bloggers.com/integrating-python-and-r-part-ii-executing-r-from-python-and-vice-versa/

I came to the conclusion to keep my Python testing scripts as short and simple as possible. I think what I created through my Python Infrastructure Building Blocks should demonstrate it. Frameworks will only complicate your strategy development workflow.

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Options backtest: Iron Condor with SPX

facebook.comOptions backtest: Iron Condor with SPX

Great article from a low latency HFT software developer

Thanks to him for sending

https://www.linkedin.com/pulse/options-backtest-iron-condor-spx-38-dte-ariel

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How to backtest your Bollinger Bands for trading

How to backtest your Bollinger Bands for trading

I am literally oscillating between too many tech areas which I will shoot in another email soon once things settle.

Anyhow, I hope you enjoy these popular ones from this week.

 

Machine learning for Fed rate?

Check out my view of this here along with the videos

How to backtest your Bollinger Bands

Check out the plan here

 

Thanks for reading

P.S. i am posting a lot of content so you want join my Daily Digest to keep up with what I post

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How to backtest your Bollinger Bands

How to backtest your Bollinger Bands

From a low latency HFT developer so check it out

https://www.linkedin.com/pulse/whats-how-backtesting-strategy-ariel-silahian

Thanks to him send this to my Linked In group!!

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Quantstart: New Backtest Interface

Quantstart: New Backtest Interface

All done in Python

From NYC Contact but remember him?

https://www.quantstart.com/articles/Forex-Trading-Diary-7-New-Backtest-Interface

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How will I backtest ETF for automated trading

How will I backtest ETF for automated trading

Newsletter subscriber asked from my last week’s post on ETFs:

How do you plan to screen the ETF universe daily before you start trading?  by liquidity , by underlying tracking index, by price breakout.
How is your back-testing so far for ETF?
I will be revealing this on my Youtube channel with code to be posted into my Membership. keep your eyes peeled.
Hope this helps
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FAQ on backtest overfitting

FAQ on backtest overfitting

Another good article from the NYC Conact, he saoid (I think):

If Physics worked like Finance, we would all be levitating since 1687. As soon as Newton would have published his Principia, things would have begun to float around us, and nobody would have been able to verify his equations through experimentation.

FAQs on Backtest Overfitting

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