Quant Mashup - Beyond Backtesting
A Visual Quantitative Analysis of RSI using Tradestation and Excel [Beyond Backtesting]
The traditional way to treat the RSI is to treat low RSI levels as good buying opportunities while treating high RSI levels as selling opportunities. However, we seek to gain fresh insight into the nature of RSI, with an eye toward discovering possible momentum return, by exploring the RSI using a
- 7 years ago, 10 Mar 2017, 03:31am -
Drop Out for OOS Sanity [Beyond Backtesting]
The vexing problem facing every system developer is the need to validate their backtest. One rigorous way to do that is to use walk forward optimization. However, an argument can be made that the alternative approach of taking all of the data into consideration can also make sense, and, in fact,
- 7 years ago, 10 Feb 2017, 11:06am -
Multi-State Classifiers (h/t @SwansJR) [Beyond Backtesting]
One technique for optimizing systems is to create a regime filter. A most common example is a binary classifier that classifies the market into either bull or bear markets based on closing above or below the 200 day moving average. But, there are problems with binary classifiers and we will
- 7 years ago, 6 Feb 2017, 12:08pm -