Analytics

Give yourself a pat on the back if you manage to make it to live trading. To get here, you probably had to develop a better understanding of your markets, backtest countless trading ideas, and finally create a diverse portfolio of strategies. It’s finally time to put real money on the line. If this is […]

Incubation is the process of demo trading your strategy. It is essentially a real-time out-of-sample test, and often provides a good estimate of your strategy’s live trading performance. This article will help you decide whether your strategy needs to be incubated, and discuss a few simple methods of evaluating your incubation results. 2. Should Your […]

Having survived our backtests on additional markets, as well as StrategyQuant’s walk-forward matrix, our GBPJPY trend strategy should be reasonably robust. In this final article on robustness testing, we will learn more about this strategy’s risk profile using StrategyQuant’s Monte Carlo simulations. This particular robustness workflow uses Monte Carlo simulation for informational purposes only; there […]

Development Process — Additional Market Testing Robustness is the measure of a strategy’s insensitivity to variations in price behaviour. A robust strategy will continue to perform well when market conditions change, or when it is traded on a different market. Robustness is thus a central theme in the development of any trading strategy, automated or […]

Development Process — Filter Testing Filters impose additional constraints upon your entry signals. They typically benefit the strategy by improving its win rate, or by preventing entry during periods of elevated market risk. Adding filters will invariably reduce the number of trades in your backtest, possibly making its results less reliable. The performance improvement must […]

Development Process — Exit Testing No entry is foolproof, and many successful traders are wrong over half the time. Good exits aid capital preservation when you are wrong, and maximize profits when you are right. The nature of your strategy should always be considered when thinking of exits; there are no universally successful exits. Small […]

Development Process — Market Research A trading idea that is congruent with your market’s characteristics is likely to perform better. Market behaviour can be quantified in countless ways, but I typically focus on historical volatility and ability to trend well. This article will illustrate some methods to quantify these characteristics, giving you a head start […]

This series of articles serves to illustrate the development process used for my algorithmic (or automated) trading strategies. There are two main development workflows, depending on your choice of software. The first uses Metatrader 4’s strategy tester module, where we build a strategy from the ground up by incrementally adding entries, exits and finally filters. The […]

Here you will find some automated trading strategies that are discussed in the strategy development and/or blog sections. For each strategy, links are included to the pages that discuss its purpose and development. Feel free to download them for your personal use. No subscription needed! (But why not subscribe so you can get future content […]

The ability to efficiently trade a portfolio of multiple strategies and/or markets is one of the biggest advantages of algorithmic trading. Portfolio composition does not seem to have received much attention in the trading literature, possibly due to its open-ended and complex nature. You could be trading a single strategy on multiple markets, multiple strategies […]

The forex market is the largest and most liquid financial market in the world. According to the Bank of International Settlements, the forex daily turnover exceeds $6 trillion. Who are the major players in this market? Read on to find out! 1. Central Banks Central…

You’re now subscribed to the Trading Tact newsletter! We’ll be in touch soon! Want to develop a portfolio of automated trading strategies? Supercharge your strategy development with StrategyQuant Access 14-day FREE trial here! Get up to USD 300 discount! Strategies need improvement? Use QuantAnalyzer’s powerful analysis tools Try the FREE version here! Get 20% Discount […]

Many years ago, a stock broker told me, “When the US market sneezes, the world catches a cold.” That still rings true today. If you trade anything at all, chances are you’ll have to pay attention to the US economic reports, and few can trump the…

Aug 24, 2021 Knowledge of intermarket correlations can improve your forex trading win rate. Here I explain three important types of correlations, and how you can use them to benefit your trading. read more Aug 12, 2021 Forex day trading seems to have a particular appeal to new traders. Here I highlight five hidden challenges […]