Recent content by itzhakk

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    Creation of synthetic prices using Bootstrapping

    This is my way to check system robustness (slightly different prices with a similar distribution).
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    Creation of synthetic prices using Bootstrapping

    I'm not a big fan of Monte Carlo simulation and prefer Bootstrap instead. This is not an academic research - I'm a real trader. If, for example, I'm trying to test seasonality system for Gold, I will use many years of gold historical prices, of course, but I need additional prices to test...
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    Creation of synthetic prices using Bootstrapping

    This is about creation of artificial price series for testing any system designed to take advantage of seasonality. Thanks for offering help but unfortunately I don't program in C++. I'll look on the links you provided. Thanks for your reply.
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    Creation of synthetic prices using Bootstrapping

    The common method for creation of synthetic price series is by bootstrapping of the real price series. Then we test the robustness of our system with different artificial price series. But what happens if our system is based on exploiting some kind of seasonality (e.g. Halloween effect in major...
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    the Treasury updated the way the yield curve is calculated

    It was interesting. If one uses a tool (Yield Spread like myself), he must be aware of such things. Thanks for the link.
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    the Treasury updated the way the yield curve is calculated

    I use 10-Year Minus 3-Month spread to define market regime (for trading options). At least for the sample period they provided in this link, the difference in spread values between two calculation methods is insignificant.
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    Range Bound

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    Taking profits and letting winners contradiction

    Youtube gurus say contradicting things to be able to say afterwards "I told you" whatever outcome is.
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    MACD crossover screener

    StockCharts.com have built in MACD screener
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    Backtesting best practices

    Suppose you have a very good idea but one of the parameters was not chosen properly. You run out-of-sample testing and fail. You have two choices: to throw away your good idea (that is pity) or correct the wrong parameter (that is curve fitting). This why I don't use out-of-sample testing...
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    please share your thought process when you are looking at charts

    I trade four patterns each of them can be traded only during specific market condition, for example bottom emerging pattern (Rounded Bottom) can be traded only during Market Recovery Phase (exit from Recession). Also, for each pattern, I have a short checklist - kind of identification...
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    Rules-Based Trading: quotes and resources

    I believe that having very strict money management rules allows us to be more confident with our trading because this will let us know that even if our set-ups are not that good, we still will not blow our account.
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