If you know the enemy and know yourself, you need not fear the result of a hundred battles. -Sun Tzu We’ll talk about knowing the ‘enemy’ in a subsequent section on Market Research. For now, let’s focus on understanding yourself as a trader. There are three general areas that you should address: Trading Style Trading […]

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 manual. Why do so many strategies […]

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 […]

It’s finally here! My first trading e-book, Trend Following Hacks, is now selling on Amazon! Tired of missing another market trend? Sick of reading “secrets” and “ultimate” guides that don’t deliver? This no-frills trend following guide slices through the marketing fluff and explains the tools and concepts you need to start beating the markets. In […]

After out-of-sample testing and walk-forward optimization, we can be reasonably confident that our GBPJPY trend following strategy is robust. For this final article on robustness testing, we will learn more about this strategy’s risk profile using StrategyQuant’s Monte Carlo simulator. In this instance, Monte Carlo simulation will be used for informational purposes only; there will […]