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I was wandering around on the forum and came across this thread which includes a chart of the long term performance of a system (QuantWizard). I was wandering if this is a typical example of what some of you experienced algo traders would see. I noticed it does indeed have a solid net positive...

After reading this article I have two thoughts. 1) Where can I learn more about the application of hypothesis testing to systems back tests? I do have a basic education in stats and hypothesis testing but I am lacking in the actual application skills. 2) Does it really matter if the edge you...

I have thought about what you both had to say very carefully. I am thinking my examination of action in recent times compared to years ago may be too simplistic. On the surface it looks the same. There are similar peak hours and you get one of three kinds of days..... flat consolidation...

In my first experiences of backtesting systems I have noticed an interesting phenomenon in both cases. First of all, these were "idea first" systems which were created with the conscious intention of capturing certain classic behavior in intraday trading. What I mean to say, is that these were...

Xela, what you say puts me at ease. I'm sure there is no text book approach. I have already begun to search the signature of the market structure that is toxic to my system. Similarly, I am seeking to understand what it is that has made it so successful over the past two years. This way, I...

I am back testing an intraday strategy for trading oil futures. It is technically driven and takes about 3 trades a day during a constrained trading period. Given I only have detailed data to test back to 2010, that is as far back as my testing has gone. The system works great over the past 2...