This is a summary of links featured on Quantocracy on Monday, 05/25/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Development of Intermarket Trading Systems [System Trader Success]In my past article, Intermarket Is Fundamentally Sound, I covered some of the basic premises and history of intermarket trading systems. While the previous entry was more theoretical, this article is more practical. Indeed, I will be discussing how intermarket analysis can be used to generate mechanical signals. I will also walk you through the process I followed in developing and impr
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Building Algorithmic Trading Systems for the Forex market. Part 2: Where to look [Mechanical Forex]On my last post we discussed the first step necessary to become a successful algorithmic trader: to get a solid formation in statistics and programming. Once youre done with this step you will then need to confront the problem of building profitable trading strategies to trade the currency markets. Doing this is no easy task since there are a myriad of things you can do to
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SPX Iron Condor – High Loss Threshold – 66 DTE [DTR Trading]This post looks at a standard (STD) one-lot iron condor on the S&P 500 Index (SPX), initiated at 66 days-to-expiration (DTE). The results in this post were derived from approximately 3200 individual trades entered by the backtester. For background on the setup for the backtests, as well as the nomenclature used in the charts and tables below, please see the introductory ar
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Accounting for Data Mining Bias [Dekalog Blog]I've recently subscribed to this forexfactory thread, which is about using machine learning to develop trading systems, and the subject of data mining/data dredging has come up. This post is a short description of how mining/dredging can be accounted for, but readers should be aware that the following is not a precise description of any particular test with accompanying code, but rather