Category Archives: Uncategorized

Pattern Trading

Summary Pattern trading rules try to identify profit opportunities, based on short term price patterns. An exhaustive test of simple pattern trading rules was conducted for several stocks, incorporating forecasts of the Open, High, Low and Close prices. There is … Continue reading

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More on Strategy Robustness

Commentators have made the point that a high % win rate is not enough. Yes, you obviously want to pay attention to other performance metrics also, such as profit factor. In fact, there is no reason why you shouldn’t consider … Continue reading

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Optimizing Strategy Robustness

Below is the equity curve for an equity strategy I developed recently, implemented in WFC.  The results appear outstanding:  no losing years in over 20 years, profit factor of 2.76 and average win rate of 75%.  Out-of-sample results (double blind) … Continue reading

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Stationarity and Fat Tails

In this post I am going to explore how, starting from the assumption of a stable, Gaussian distribution in a returns process, we evolve to a system that displays all the characteristics of empirical market data, notably time-dependent moments, high … Continue reading

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Long Memory and Regime Shifts in Asset Volatility

This post covers quite a wide range of concepts in volatility modeling relating to long memory and regime shifts. The post discusses autocorrelation, long memory, fractional integration, black noise, white noise, Hurst Exponents, regime shift detections, Asian markets and various topics froms nonlinear dynamics. Continue reading

Posted in ARFIMA, Asian markets, Black Noise, Correlation Dimension, Correlation Integral, FIGARCH, Forecasting, Fractional Brownian Motion, Fractional Integration, Henon Attractor, Hurst Exponent, Logistic Attractor, Long Memory, Modeling, Nonlinear Dynamics, Pink Noise, Regime Shifts, Strange Attractor, Uncategorized, Volatility Modeling, White Noise | Tagged , , , , , , , , , , , , | Comments Off