Első példaként nézzünk akkor meg egy relatíve sok induló feltételt (11) tartalmazó pullback rendszert.  All tradesLong tradesShort trades Initial capital 600000.00 600000.00 600000.00 Ending capital 762223.37 762223.37 600000.00 Net…

But beware of modifying the system solely to select the set of values that test best out-of-sample.  Remember that every time you examine the results of an out-of-sample test, including a walk forward test, and then modify the system in order to improve the results, you are increasing the degree to…

Of course, the developer of the system can use whatever data he or she wishes for validation. But when the system is used for trading, the sequence is always develop, then trade. Actual trades are always out-of-sample. The best estimates of future performance come from tests made on out-of-sample…

Equity curve feedback Equity curve feedback, or equity curve filter, uses the equity curve of a trading system to determine when to take trades from that system and when to just watch them. The calculation begins with a trading system. Call this the “base” system. In the example below, it is…

Mean Reversion based on RSI One of the categories of trading systems is mean reversion. While trend following systems enter long positions after a period of strength in anticipation of further strength, mean reversion systems enter long positions after a period of weakness in anticipation of return…

Measuring System Quality This article is in response to several emails and a comment to my article Distributions. This comment summarizes the question nicely: Great post on distributions. Can you comment on using Van Tharp’s System Quality Number as an indicator of tradability? It uses only…

Why Traders Stop Trading? Assume a trader has a method – mechanical, discretionary, or a combination of both – that she has been using successfully. Also assume that she understands both herself and the business of trading, and wants to continue trading. Why would she stop trading that…