Looking Into The Ulcer Index

Investors utilize a variety of performance and risk metrics to evaluate strategies. These numbers provide a summary of what happened to the strategy historically and can be useful to quickly compare different strategies. To use these statistics effectively, it is helpful to look at some of the nuances of those frequently cited and cases where […]

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Trading The Equity Curve & Beyond

Some trading systems have prolonged periods of winning or losing trades. Long winning streaks followed by a prolonged period of drawdown.  Wouldn’t it be nice if you could minimize those long drawdown periods?Here is one tip that might help you do that. Try applying a simple moving average to your trading system’s equity curve. Then, […]

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Getting Started with Neural Networks for Algorithmic Trading

If you’re interested in using artificial neural networks (ANNs) for algorithmic trading, but don’t know where to start, then this article is for you. Normally if you want to learn about neural networks, you need to be reasonably well versed in matrix and vector operations – the world of linear algebra. This article is different. I’ve attempted to provide […]

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Secret Weapon of Stock & ETF System Development

This is the second article in a two-part series where I discuss the top three pitfalls when backtesting Stock & ETF trading systems. In the first article, The Top Three Pitfalls of Stock and ETF System Development, I highlighted the top three issues system developers face. In this article, I’m going to show you how […]

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Randomly Pushing Buttons

Randomly Pushing Buttons

Before my current circumstances, and before I was a photographer (see above), I used to make music for a living. Specifically, weird-ass techno/electronic music that many people found difficult or annoying. One of the ways I would find sonic inspiration was to use audio software to generate random sounds. I would record this stream of […]

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Simulation: Beyond Backtesting

beyond backtesting

One problem with traditional backtesting is that it relies on the presupposition that there are repeating predictive patterns in the market. In fact, most trading methodologies rely on this assumption. And yet we know the disclaimer that past performance is not indicative of future results. And yet backtesting largely assumes that the future will be […]

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Why I Prefer Trailing Stops

Whether you trade stocks, bonds, Forex, commodities, or other financial instruments, or whether you are short-term, intermediate, or long-term trader I am sure you will agree with the next sentence – “Being in sync with the market is vital for success“. It applies for both automated and discretionary investors. In this article, I will share […]

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The Top Three Pitfalls of Stock And ETF System Development

During my nearly 25 years of experience in the trading business, I have talked to many traders about system development. Futures trading systems and back-adjusted contacts are fairly well understood. Recent issues with the pits closing and markets being only electronic have created some issues but it’s still relatively straight forward to design a trading […]

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Using this Indicator Makes $199K More Profit

In a recent article, Predictive Indicators written by John Ehlers he highlighted a unique indicator used to time market cycles. This indicator is a heavily modified Stochastic Oscillator and was demonstrated on the S&P. In this article, I want to put John’s Oscillator to the test by comparing it to another popular indicator used for timing […]

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