In my previous post we discussed the use of return thresholds in the creation of a classifier in order to improve the out-of-sample (OS) performance of trading strategies. In essence instead of simply predicting whether a system’s future return was above or below zero we tried to predict whether the return was above or below […]
Posts Tagged ‘system design’
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- 2016: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2015: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2014: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2013: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2012: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2011: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2010: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2009: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
- 2008: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
November 2017
- When are non-zero return thresholds a good idea for OS performance classification?
- IS/OS variable correlations: What about changes for lower/higher Sharpe Ratio values?
September 2017
August 2017
November 2016
August 2016
July 2016
June 2016
- Systematic spread increases: Why you shouldn't trade Forex at the NY close
- Some interesting results from our machine learning system repository
- Looking at Quimichi: How a long term trend follower has performed in 2013-2016
- Trading system design and the problems of the OR logical operator
- What is a trading system parameter? Not every possible thing that can be changed!
- Twitter historical data and financial time series predictions
- Are islands always better than peaks? About system parameters in Forex trading
- Symmetry in Forex trading systems: Should strategies be symmetric?
- Our Forex machine learning system repository is alive again!
May 2016
- Profitable strategies on multiple Forex pairs: Using more than 2 pairs
- The relationship between the last year of in-sample testing and the first year of out-of-sample in long term profitable systems
- Using OpenKantu in practice: How much do systems deteriorate in a Pseudo out of sample period?
- Forex trading system selection and mean reversion
- The big possibilities of machine learning ensembles
- Using OpenKantu in Practice: When you try to build "never losing" systems
- What do top out of sample performing trading strategies have in common
- Out of sample profitability and trading system complexity
- The myfxbook great long term accounts: Why do they never last?
- Return frequency when measuring trading system correlations
April 2016
- Predicting out of sample performance
- Hurst Exponent Deviations: Expected values for efficient data series
March 2016
- Using R in trading: Backtesting a Chaos based prediction system
- Using R in Trading: What can you really do to reduce portfolio drawdowns
- After more than one year of trading: Are there any in-sample/out-of-sample correlations?
February 2016
- Machine Learning in Forex Trading: First results from shifted timeframes
- New Algorithmic Trading Timeframes: Just shift it!
- The Rolling Correlation Index: A better measurement for system relationships
- Dealing with swap charges in your Forex system
- Using luck to your advantage: Improving on trailing stop mechanisms in FX trading
January 2016
- Machine Learning in Trading: What about lower timeframes?
- Which Forex pairs are the most predictable: An algorithmic perspective
- Curve Fitting and Data Usage: Evidence on why using all available historical data makes sense
- Machine Learning in Trading: Using Heiken-Ashi returns as inputs
- Using or Avoiding Limitations: Arguments against the use of take profit orders
- Price Action Based Descriptors: Using angles in Forex trading
- Machine Learning in Trading: Exploring multiple trade outcome predictions on the EUR/USD
- One and a half years later: Performance and correlations of a Forex automated system generation methodology
- FX-Trader Magazine Article: Function based trailing stop mechanisms
- Machine learning in trading: Predicting multiple trade outcomes using a linear regression model
December 2015
- Creating Successful Machine Learning Systems: My journey in the world of self-adapting strategies, part 2
- Creating Successful Machine Learning Systems: My journey in the world of self-adapting strategies, part 1
- Using OpenKantu in Practice: Building systems for multiple timeframes
- The brick wall in trading system design: Understanding the limitations of historical data
- Using OpenKantu in Practice: Is old Forex data irrelevant in today's market?
- Neural Networks Using Technical Indicators: Exploring Commodity Channel Index (CCI) based systems
- Using OpenKantu in Practice: The take profit, the winning ratio and mining bias
November 2015
- Neural Networks Using Technical Indicators: RSI system results on multiple pairs
- Using OpenKantu in Practice: Creating a market-wide Forex system portfolio
- Neural Networks Using Technical Indicators: exploring single period RSI algorithms
- Updating OpenKantu to v2.10: Fixing my open source trading system generator for a wider trader audience
- Neural Networks Using Technical Indicators: a Machine learning algo using the RSI
September 2015
June 2015
May 2015
- Generating a methodology for the creation and trading of machine learning strategies
- A real and solid statistical method to find and quantify support and resistance levels
- Better understanding Data Mining Bias (DMB): It's not a trading system property
- Some algorithmic trading systems from 2010: Revisiting three trend following strategies (BB, CCI and RSI)
- Problems with data building: How to create reliable renko charts for algorithmic trading
April 2015
January 2015
December 2014
November 2014
- Important Technical Issues in Forex Trading System Development
- The huge disadvantages of manual trading system creation
September 2014
- Measuring trading system risk: Understanding risk outside of historical performance measurements
- Using R in Algorithmic Trading: Back-testing a machine learning strategy that retrains every day
- Using R in Algorithmic Trading: Building and testing a machine learning model
August 2014
- Analyzing random trader outcomes: Trend-following biases with different lookback periods on the EUR/USD
- Following the Trend: Analyzing the effect of trend following bias on random traders in the FX market
July 2014
- Building a Multi-currency Machine Learning Forex Strategy for the 1H Time frame
- Finding Real Historical Inefficiencies: Some surprises from data mining bias analysis
June 2014
May 2014
- Broker Dependency and Data-mining in Forex: Why multiple feed verification is fundamental
- Limiting Market Exposure: Searching for systems with fast exit mechanisms
April 2014
March 2014
- Reducing your data-mining bias: Creating trading systems with limited data
- Understanding the nature of trading system failure: Why trading systems fail
February 2014
- Exploring Linear Classifiers: Some basic tests using simple machine learning methods in the forex market
- Price Action Vs Technical Indicators: Facts, myths and real differences
January 2014
- Are unlikely correlations spurious?: Looking at lags and OS results in price-action based systems
- Global Trading: Building a forex price-action based system for the 4 majors
- Trailing Stops and System Generation: Using a non-retracing TL to create strategies
- The Worst Case: Determining Trading System Failure for Highly Linear Systems
- Using R in Algorithmic Trading: Studying In-sample/Out-of-sample variable correlations
- Trading System Linearity: Why highly linear in-sample behavior is so important for future performance
- Designing Forex Systems that Work with a Trailing Stop
- Forex Trading System Failure: Building Systems for the Worst Case
September 2013
May 2013
April 2013
March 2013
- The Data problem: Creating a multi-instrument/fundamental historical data engine for Forex Trading
- Autonomous Forex Trading Agents Using Machine Learning: The Road to True "Set-and-Forget" Algo Trading?
- The Relevance of Back-testing Time: Does a longer, profitable back-test lead to better OS success probabilities?
- Trading the EUR/USD from 1999: Studying long term out-of-sample success and in-sample selection
- All currency pairs are not created equal: Why it is better to design systems for higher liquidity pairs
February 2013
- Developing a trading methodology: Why choosing a single top system is a bad idea
- Answering a Basic Question: What do systems with profitable out of sample results have in common?
- The Kantu Project: Validating a Trading Methodology, System Generation Walk Forward Analysis
- The Kantu Project: Learning to Filter Price Patterns Through a High School Trip
- The Kantu Project: Automatic Parameter-less System Generation Using Genetic Programming and Price Action
January 2013
December 2012
- Seasonal Effects: Finding and Using Them to Improve Your Forex Trading Systems
- Can the Lower Time Frames be Useful? : Discussing Information, Robustness and Reliability
- Implementing Another Front-end: Asirikuy Systems Now Trading on MT5 using the F4 Framework
November 2012
- Neural Networks in Trading: Paqarin, Almost Ready for Action
- Enhancing Robustness: Implementing Modifications to Remove a Strategy's Feed Dependency
- Feed Dependency in Higher Time Frame Algorithmic Systems in the Forex Market: Causes and Effects
October 2012
- An NFA Compliant MT4 Virtual Order Manager, Finally!
- The Order Wrapping Nightmare: Building an NFA-compliant Order Manager Library for MT4
- Avoiding Binary Choices: Using Fuzzy Logic Without Lot Size Granularity Problems
May 2012
August 2011
July 2011
June 2011
- Occam's Razor in Trading: Applying Parsimony in the Development of Trading Strategies
- Introducing Asirikuy S&R: Finally True Algorithmic Support And Resistance! :o)
- Neural Networks in Trading: Are Trade Results Correlated? Towards a Universal NN Money Management Solution. Part 3
May 2011
- The Time Array Mismatch Problem: A Dark MT4 Secret Comes to Light
- The Score Tactic: Building a System to Trade on Varied Contributing Factors
- Re-Evaluating Our Amachay Portfolio: Going the Simple Route
- Amachay Gets Ready for Its Live Trading Debut: A Full Fibonacci Based Strategy Portfolio
- Getting Better at Counter-Trending: Sumaq, An Innovative New Watukushay System
- A New Asirikuy Counter-Trending Strategy: Trading Fibs With Amachay
April 2011
- Neural Networks in Trading: Why One Pair and Not Another?
- Learning How to Use Indicators: Five Tips To Use These Trading Tools Effectively
- The Indicator Series: Expanding Our Views Over the PSaR (Yawn and Time indicators)
- Neural Networks in Trading: Picking Sunqu's Brain, How an NN Strategy Trades
- Going Platform Independent: Our Ideas for the F4 Asirikuy EA Framework
- The Effects of Increasing System Number: The Deterrents of Big Portfolios
- Indicators Vs Price Action: Is One Better Than the Other ?
- Solutions to Broker Dependency: Would Trading Only One Feed Work ?
- Towards Eliminating Broker Dependency: Fuzzy Logic, Another Technique to Help
- Trade More or Trade Less: The Incidence of Trading Frequency in System Quality
March 2011
- Building a Forex Portfolio With the Highest Possible Level of Robustness: Introducing Comitl
- Trading Fixed Position Sizes: The Big Problem With This Lot Sizing Approach
- Custom Indicators and Back-Testing Speed in MT4: How to Make Your Custom Indis Fast
- Neural Networks in Trading: The Main Challenges in NN Trading System Implementation
- The Ideal Forex Strategy Tester: Features and Key Characteristics
- Neural Networks in Trading: Developing Sunku, Our First Likely Long Term Profitable Asirikuy NN Adaptive System
- Destroying a Trading Myth: Reversing a Losing System DOES NOT Produce a Profitable One
- The Door To Asymmetry: Be Very Careful About the Possibility of Asymmetric Trading System Building
February 2011
- Looking at myforexdot.org.uk, an Excellent Website with a Lot to Say
- Neural Networks in Trading: It's Not About Making Extremely Accurate Predictions
- Coatl Single Currency Centered Portfolios: One Choice for Every Taste
- Neural Networks in Trading: Beginning our Journey With A Small Introduction
- Developing an Iron-Clad Trading Setup: The First 20 Year Coatl System Portfolio
- A Global View: The True Ultimate Forex Weapon
- Solving the Time Setting Problem: Finally a Reliable, Error-Free, Completely Automated Time Detection Solution for MT4 (and 5)
- Universal Forex Inefficiencies: Only a Long Term Trend Following Phenomena?
- Testing Expert Advisors: Properly Checking Your Systems Before Live Trading
- The Need for Platform Independence: Analyzing the Odd MT4 Indicator Implementations
- Trading Across Important Market Changes : A DEM/USD Designed System Trading the EUR/USD
- Low Liquidity Pairs : Is Trading Them Worth the Hassle?
- Reducing Broker Dependency: Is Dithering the Answer ?
January 2011
- Coatl and Asirikuy Systems: Building Portfolios With Our Genetically Bred Strategies
- Talking About "Party Time" : For How Long Could We Expect Profitable Strategies to Remain Profitable
- The Fruits of Genetics : Our First Coatl Based Basket Portfolio
- Advanced Trading Indicators : Their Reality and Possibilities
- Asirikuy's First MT4 Genetic Programming Implementation : Get Ready For Coatl :o)
- Can a Computer Design a Trading System ? Part Six : A Twenty Instrument Portfolio
- Advancing Time Detection Mechanisms in MT4 : Using NTP synchronization and UTC
December 2010
- Last Week of the Year : The Trading Systems Developed in 2010, Tips and Insights About System Design
- Black Swan and Trading Strategies : Protecting Ourselves Against Unknown Events
- Introducing Watukushay No.7 (Sapaq) : Our First Counter-Trending System
- Can a Computer Design a Trading System ? Part Five : Walking Carefully, The Five Main Problems of Genetic Programming
November 2010
- Can a Computer Design a Trading System ? Part Four : Testing My Genetic Framework On Minors
- One System to Rule Them All : Developing Strategies For All Forex Instruments
- Trading the Forex Minor Pairs : Is It Worth the hassle ?
- Automated Trading Execution : Dependent Vs Independent Platform Solutions
- Taking Advantage of Control Point Simulations : In-Depth Studies of Simple Strategies
- Can a Computer Design a Trading System ? Part Three : Some Interesting Results Tackling JPY crosses
- Detecting Accurate Time in Metatrader 4 : a Real Nightmare ! (and a simple solution)
October 2010
- Can a Computer Design a Trading System ? Part Two : Genetic Programming
- Optimizing Without Curve-Fitting : Six Tips to Avoid Over-Optimization
- Trading Rules : If Only it Was This Simple
- Can a Computer Design a Trading System ? Part One : Concepts
- Building an NFA-Compliant Portfolio : Atinalla No.3
September 2010
- What Does "Money Management" Really Mean ? : Defining a Very Important Concept in Trading
- Developing Better Systems : Five Tips to Develop Systems With High Average Profit to Loss Ratios
- Eliminating and Postponing Risk, Two Very Different Things
- Destroying a Myth : Indicators Lag… Actually, they don’t.
- Elegant Automated Trading Systems : A Key to Success in Mechanical Trading
August 2010
- The Pain Index : A Measurement of How Hard it is to Trade a System from a Psychological Perspective
- Preserving Your Capital : Five Signals You are Taking Too Much Risk with Your Forex Trading
- To Trade or Not to Trade : A Little Bit About Friday Trading
- Volume Based Forex Systems. Can it be Done ?
July 2010
- Why There is No Universal System : Differences Between Currency Pairs
- Does Hedging (on the same currency pair) Really Exist ? A Look at Position Holding in Forex Trading
June 2010
- Targetting the JPY Crosses : Why it is so Hard to Develop Long Term Profitable Systems for These Instruments
- Looking at the Future Through the Past : The Key to Successful Entry Logic Design
- What Doesn’t Change : Talking About Inherent Characteristics of the Market
- Intelligent Trading : Answering Every "What if"
May 2010
- Making Automated Trading Systems – 6 Tips for Successful System Design
- Steps to Design a Likely Long Term Profitable Trading System
April 2010
- How the Market Changes… Adapting Against Market Conditions – Part Two
- How the Market Changes… Adapting Against Market Conditions – Part One
- Technical Indicators : What They Tell You and What They Don’t
March 2010
- Reversing Strategies… It Almost Never Works !
- Support and Resistance, Predictable A Priori ?
- Defining Support & Resistance Levels Mathematically, A True Challenge for Automated Systems
- The Risk to Reward and the Number of Loses
- Complexity Vs Understanding… The Battle in Automated Trading
- Volume in Forex… Does it Mean Anything ?
February 2010
December 2009
- Filtering Everything… A Wrong Approach Towards System Design
- On the Problems Of Automated Trading System Design… Why a Broader Vision is Necessary
