Searching for Alpha in my testing…

Have progressed along with my trend-following model in Excel – thankfully my computer is half-decent. The model currently has 100,000 data points (that’s how many 5-minute bars there are in a 16-month period] and has run up up 40MB in size with a good range of formulas. Separate spreadsheets for long setups and for short setups.

[Note – ‘Alpha’ in a trading context refers to returns achieved that are in excess of returns achieved by a benchmark, such as the S&P500 index if trading equities.]

Parameters I have managed to incorporate are a definition of a trend, a definition of pullback, spotting the end of the pullback, reading price action, stops, targets, bid-ask spread, commissions and several other points.

Thus far it does not show an edge – that’s for long setups on EURUSD for Jan’16-Apr’17.

Will now look to roll the model out over several other batches of 100k data points from other fx instruments, and some other asset classes, and to different time periods.

By doing so, I hope to figure out the circumstances when the strategy produces profitable results. I will also try to figure how/if I still need to change parameters. Finally the models will provide a starting point for testing other trade ideas such as swing breaks.

Not much point doing live trading unless I can find an edge in my models to begin with.  It feels my time is better spent working on that, right now in any case, then live trading and trying to find a profitable strategy that way.  [Thankfully, I am getting some live trading exposure on a daily basis in the Trading Mission oil futures trading room].  However, I am not saying that all the screen time from the prior 3-4 years has been a waste – it has all fed into my skill base for analyzing, designing trading strategies and for maintaining a healthy dose of realism in the testing phase.

The search for Alpha continues….


The piece above is being painted by street artist Justin [aka ‘Trafik’] – it began on Friday, and this is how it looked at 7am this morning.  Follow me on Instagram for more street art and graffiti shots in the east London area of Brick Lane & Shoreditch.

This entry was posted in Testing, Trend-Following Strategy. Bookmark the permalink.

2 Responses to Searching for Alpha in my testing…

  1. Rhiese Macdonough says:

    hey man, i just started my trading blog about two months ago after just visiting other sites and reading them. it’s nice to see other bloggers who post regularly. good luck with your model!


    Liked by 1 person

  2. Pingback: End-of-May Trading Update | Trick or Trade

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