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 […]