Category Archives: Testing

Trading Update

Quickly sharing the things I have been working on & thinking about on the trading front over the past working week.

Posted in Financial Markets 101, Testing | 5 Comments

Tips on developing automated trading strategies

Sharing some insights from a 3-day working session with a Belgian systematic trader. Also an update of what else has happened in recent weeks on my trading front.

Posted in Financial Markets 101, Futures Trading, Testing | 3 Comments

Example application of Bergstrom’s e-ratio

This week I calculated the e-ratio outlined by Dave Bergstrom for a systematic trading strategy I am currently developing for the FX markets.  

Posted in Testing, Work in Progress | Tagged , , , , | 2 Comments

Working notes: Systematic trading etc

Live Trading, running an algo, reconciling the two, more coding, building a market context model.  Long hours. All that was part of my week.  Read further for a detailed discussion of these.

Posted in Reversals Strategy, Testing | 2 Comments

Trading strategy back-testing nuts & bolts

Experience-sharing:  Going through some tedious work trying to get my head around various currency futures contracts, correlation with spot products and making sure I am using all the data correctly in back-testing and optimizations. Comments on TradeStation’s ‘Portfolio Maestro’ product … Continue reading

Posted in Futures Trading, Testing | Tagged , , , , , , , , , | Leave a comment

Protected: AUDUSD Trade Management Optimizations

There is no excerpt because this is a protected post.

Posted in Testing, Trend-Following Strategy