Worth reading.. I have gotten more than good (so good I believe there must be a bug somewhere) results from my 500+ eq systems and this is one of the reasons: url

Systematic trading

By the way if anyone is interested, I use open source ta-lib url on this equity platform. The documentation is awful but they have separated implementations from interfaces allowing all kinds of interesting things - ie, I can wrap most of the ...

Systematic trading

All trade same equity list. The strategies are directional so some are long strategies and some are short strategies. There was a down period at the point where some of the strategies went up and some down, the main thing is that the composite curve ...

Systematic trading

Oh the beauty of noncorrelation and huge list of equities. Here is the first screenshot I have posted anywhere of my new stock/etf trader.

Systematic trading

This might interest people reading this thread.. (click the upper link to go to youtube so you don't have to watch in this tiny box) video

Systematic trading

I actually don't remember anymore but the source code is included so take a look there.

Pinbar indicator

Sure, go ahead. No need to create a new thread.

Systematic trading

Okay then, that sounds reasonable. few percent per month system sounds much more reasonable than 165% (the page you linked says Monthly: 165.3498% at the moment). > After that, we're considering having the whole system re-built in a distributive ...

Systematic trading

Haven't posted here for a while but I just have to after seeing that curve.. Have you done any longer term tests with multiple pairs? Your groups curve looks very nice (well I can't see trade risk level so I can't be sure) but to be honest, it looks ...

Systematic trading

+25%? Also, relevant performance metric would be reward vs risk. Some of your years look pretty bad on risk basis - there are some VERY high drawdowns, 2003 for example - this tells about far too high risk ratio and will give you very nice looking ...

The market never cared about your moving average or candlestick analysis

Something worth reading.. Not probably where he gets his data but anyway.. url

Intra day currency strength/weakness...

If you want to trade spread (of N instruments), you might want to look into wider range on instruments than just FX. There are lots of good spread trade opportunities in fundie side. Example: when BP spill happened it was BP vs oil basket. There are ...

Intra day currency strength/weakness...

out-sample is under 2 years (jan 2010-today). Note that I told what the fitness is, it's mar (cagr/max_dd) So here you go - you figured out what I was trying to point. On my results, in-sample average MAR of certain range seems to correlate ...

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cagr is profit per annum (year), sample size is 01/2003 - 01/2010 max dd is max dd from closed peak balance in percentages.

Systematic trading

Nope, this is simply the whole list split equally to 20 parts. In this example each line contains average values for 927 strategies. In-sample is sorted in the same order as out-sample so it's possible to see correlation between out-sample fitness ...

Systematic trading

Here is something people don't post here ofter It's combined data of 18500 strategies that all made at least 1% per annum (cagr). Stratgegies are generated with my GP framework and operate on 4 currency pairs. At this list, fitness is the same as ...

Systematic trading

There are various ways, one (that I don't use) is randomizing the data in blocks of random size instead of single points of data. Main point is that you don't randomize all data, you sometimes use sequential points and sometimes not. There are lots ...

Systematic trading

That depends on how you do the generation from the sample.

Systematic trading

high reward vs risk is exactly the same as steady account growth.

Systematic trading

Monte carlo is also viable option. I personally would prefer better methods that financial sector uses over kelly, for example MAR (simple but very good), sharpe or sortino. It's worth thinking about where kelly was invented, betting, where the win ...

Systematic trading