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Walk-Forward in Trading Blox: Back-Testing Adaptive Trading
A few months ago, I got quite interested when Trading Blox announced that they introduced a new walk-forward functionality in their latest version. I just got round to upgrading, and giving that...
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Volatility Filters
I have touched on trading regimes before; and looking at volatility-based regime switching was in my research stack since then. Today, I’m looking at a practical example: Trend Following results based...
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A Different Application of the Bootstrap
In the last volatility filters post we saw that trades from a simple Trend Following system (20-50 MA cross-over) had different expectancy based on the relative level of volatility at trade entry. This...
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Profit Targets and Trend Following
OK, Profit Targets. You’ll tell me this is the anti-thesis of Trend Following, with one of its strongest mantra being: Cut you losses short, let your winners run… Indeed, Trend Following relies on a...
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Trading Diversification: A Free Lunch?
The more I think about system design, the more I get convinced that diversification is a key to great performance. As the cliche goes: Diversification is the only free lunch on Wall Street. This is...
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The Good, the Bad and the Ugly Portfolios
Many combinations... Following the last study on diversification using a “portfolio randomizer”, I wanted to further explore further the concept of hindsight bias in portfolio selection and how it can...
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Can You Trade Effectively on a Monthly Basis?
Long-Term Trend Following is often billed as a superior and simple alternative to Buy-and-Hold for individual traders. For those investors wanting to take a DIY/self-trading approach, an active...
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Trade what you Test and Test what you Trade
In order to avoid bad surprises in live trading, the maxim forming this post title should apply to as much of a trading system as possible. The goal is to ensure back-testing results are as realistic...
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Further Musings on Randomness
The last post on “Monkey-Style” trading with random entries and trailing stop exits generated a fair bit of interest, comments and questions. In this follow-up post, I want to explore the concept...
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Monthly vs. Daily Trading – updated
2011 offered challenging market conditions for trend followers (as illustrated by both the State of Trend Following and the Trend Following Wizards reports). The second half of the year in particular...
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