They are not. They were just used for testing if the CART works at all. Only two of them had some predictive value for that strategy, that's why...
The Forex markets are rather similar. In my limited experience with trading systems so far, if a system works reliably with one currency, it...
Because yesterday's high is more than 24 hours in the past. The True Range is supposed to cover 1 bar, and thus can not use earlier prices than...
What is your trading bible? Can you recommend some books with good ideas and concepts for developing trade strategies? I'll start - here are...
I assume that this is not a traded strategy, otherwise I had to fear for your financial future. But if it were, you had probably run backtests...
All traded strategies are optimized. As soon as you manually select some algorithms or parameters, you perform optimization, sometimes to a high...
I'm more known as Bob & Alice... This is of course very valid. I just have a different opinion about locally and globally fit models, and would...
I think I know this connection quite well, at least I'm paid for writing algorithms and software based on it, together with many other...
No, the 10 weeks are not an autocorrelation period. The autocorrelation horizon is much shorter. The 10 weeks are rather a stationarity period...
There is indeed no ideal OOS length. In real trading, the strategy will obviously work the better, the more often the parameters are adapted....
Coding in assembler is effective when a large part of the performance depends on a very small loop. It then certainly makes sense to integrate an...
I think not, as I'm meanwhile so familiar with this forum that I can already identify the trolls. At least one. :)
Here are some results from a strategy with a CART filter. This is the original equity curve from the simple lowpass filter strategy: [img]...
That's right of course. For almost all strategies, the effectivity maximum lies at the beginning of the OOS period, and decreases afterwards. So...
How did you know that this strategy worked better when you eliminated the OOS? Without OOS you can't test it, unless you're using complicated...
It's interesting that you mention Michael Harris, because I found his software on the web and it's one of the reasons I wondered about price...
Price curves have a very low signal to noise ratio. Therefore one would normally assume that signals or patterns based on the high or low of a bar...
What algorithm are you using for finding patterns? A perceptron or a classification tree? We've found so far that they both work much better...
No, it depends on the strategy. Some strategies are more profitable with short training periods and frequent parameter adaption, others require...
When you enter positions at random, favorable and unfavorable slippage is indeed evenly distributed, assuming that the broker is honest. However,...
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