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All posts by Curtis White

Discover Best Trading Rules with Perceptron Search

Every system developer has a list of rules and indicators that they want to test out. The problem every developer faces is narrowing down that list of rules and indicators to the select few that are best worth focusing on. A quite similar and related problem that every developer has to deal with is having some inputs or […]

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Multiplex For Greater Profit

Two problems that often result from system optimization are, (1) a reduction in the number of trades, a system that generates too few trades can both be more difficult to trade and a low number of trades does not inspire confidence; and (2) there is a selectivity or specialization risk that, by sheer bad luck, […]

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Finding The Optimal Period

Today’s topic is on finding the optimal periodicity for the RSI indicator and the techniques should apply to other sorts of indicators as well. The good news is that it won’t require any rocket science. John Ehlers has written a lot about this topic, and his articles spurred my interest in it, which frankly I […]

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A Visual Quantitative Analysis of RSI using Tradestation and Excel

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 visual quantitative approach. Exporting And Visualizing The […]

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A Better Regime Filter To Boost Returns

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 demonstrate why a multi-state classifier […]

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