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雷达卡
Chapter 1: What is a trading system? 3
1.1 An easy example of a trading system 4
1.2 Why you need a trading system 5
1.3 The science of trading systems 7
Chapter 2: Design, test, optimisation and evaluation of a
trading system 9
2.1 Design 9
Getting started 9
The programming task 10
Which timeframe to trade? 11
2.2 Test 12
The importance of the market data 12
The length of your back-testing period 14
Rule complexity and degrees of freedom 15
2.3 The forecasting power of a trading system 19
Optimisation 19
Walk forward analysis 21
Robustness 23
2.4 Evaluation of a trading system 27
What to look for in an indicator 27
Average trade 28
Percentage of profitable tradesProfit factor 30
Drawdown 30
Time averages 31
RINA Index 32
2.5 Conclusion 33
Part II: Trading System Development and Evaluation
of a Real Case 35
Chapter 3: How to develop a trading system step-by-step –
using the example of the British pound/US dollar pair 37
Introduction 37
3.1 The birth of a trading system 38
The free LUXOR system code 39
The entry logic 41
3.2 First evaluation of the trading system 43
Calculation without slippage and commissions 43
Calculation after adding slippage and commissions 47
3.3 Variation of the input parameters: optimisation and
stability diagrams 49
What does stability of a system’s input parameter mean?
A short theoretical excursion 49
Dependency of main system figures on the two moving
averages 51
Result with optimised input values 56
3.4 Inserting an intraday time filter 59
Finding the best entry time 59
Result with added time filter 61
3.5 Determination of appropriate exits – risk management 64
The concept of Maximum Adverse Excursion (MAE) 66
Inserting a risk stop loss 70
Adding a trailing stop 74
Looking for profit targets:
Chapter 4: Two methods for evaluating the system’s
predictive power 89
4.1 Timescale analysis 90
Changing the compression of the price data 90
LUXOR tested on different bar compressions 92
Net profit and maximum drawdown dependent on the
traded bar length 96
Explanation for the time dependency of the system 97
4.2 Monte Carlo analysis 101
The principle of Monte Carlo analysis 101
Exchanging the order of the performed trades 104
Probabilities and confidence levels 105
Performing a Monte Carlo analysis with the LUXOR
trading system 107
Limitations of the Monte Carlo method 108
Chapter 5: The factors around your system
Chapter 6: Periodic re-optimisation and walk forward analysis 147
6.1 Short repetition: “normal”, static optimisation 147
6.2 Anchored vs. rolling walk forward analysis (WFA) 149
6.3 Rolling WFA on the LUXOR system 150
Periodic optimisation of the two main system parameters 150
Out-of-sample test result 153
Conclusion 155
6.4 The meaning of sample size and market structure 155
Chapter 7: Position sizing example, using the LUXOR system
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