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Not a safe assumption. I'm married with 3 kids. If your partner doesn't share your priorities, then you've got a problem. You certainly are going to find it hard if you want to retire early and she wants to keep spending money. In an extreme situation it could end up in divorce. Mind you...

It's probably too late for this, but the trick is to marry the right wife, i.e. someone who shares your priorities. It's also a good idea to hang out with friends with the same priorities, and who ideally are slightly poorer than you....

There's a middle ground isn't there, between the people who spend every penny they have and can "never" retire, and this guy. The width of the decision making space depends on how much you earn. Someone making minimum wage has almost no options. Someone in a position earning $200K a year...

My understanding is that swing trading is supposed to be able to pick turning points when a new trend is about to start. However I am not an expert in it, but the limited research I've done into the subject makes me sceptical. Perhaps an expert can elucidate. Generally though trend followers...

Not true. It's certainly far better than fitting insample. As to whether it is overfitted that will depend on how robust the fitting method is, how many years of data are used to fit and so on. Your reply isn't even consistent. Repeatedly fitting is bad, but you have to account for changes in...

Trades Trades take 1 code contractid filled_datetime filledtrade filledprice 3100 AEX 201504 2015-03-26 13:32:31 -1 482.750000 3098 CAC 201504 2015-03-26 13:26:09 -1 4957.000000 3107 CAC 201504 2015-03-26 16:59:17 1...

I generally put that sort of thing on my blog, it's not a python book. If you have any requests for bits of code you'd like to see ('handle various bits of data' a bit vague...) then email me.

Well the fitting I am doing here is portfolio allocation. So the non robust method is just doing a one period markowitz optimisation on all the data that we have (if doing WFA, only the past data). This tends to produce very extreme portfolio weights. The robust method is non parametric...

You might be interested in an exercise I did recently on a 'toy' system. The fitting was deciding the weights to give to 4 trading rules, and to 7 instruments. Fully in sample using non robust fitting Sharpe Ratio 0.84 'anchored WFA' using non robust fitting Sharpe Ratio 0.30 'anchored WFA'...

Nice picture! I'd personally call that 'rolling out of sample testing'. It's rolling, because we're using a fixed size window. Its definitely preferable to any kind of in sample testing, whatever you call it. I personally prefer 'expanding out of sample testing' where you fit using a fixed...

Thanks. Good to have some helpful people. As I said on my other post, for me it would be using my terminology: Observation & rule design, backtesting (or simulation) done using rolling out of sample data, paper trading, real trading. I hadn't heard the term 'walk forward testing' till...

Anyway here is what I personally do, which will hopefully sidestep any arguments that are mainly about definitional disagreements.This works for me, because I trade fully systematically with a relatively large number of fairly simple trading rules, and then use the combination of their...

Yes I have. And the advanced stuff as well. And I politely disagree that everything I said is incorrect, since it's clear that we're talking about different definitions of the terms 'WFA' and 'backtesting'. Are you always this rude?

"Success in systematic trading is mostly down to avoiding mistakes: over complicating things, being too optimistic about likely returns, taking too much risk and trading too often. I will help you avoid these errors. This won't guarantee large profits, but it will make failure much less likely."

Suppose you backtest and don't like what you see. You're probably going to drop the rule, or modify it You shouldn't really take any action at all, since you have forward information at this point. But if you're going to backtest and ignore the results, then what's the point of doing it? To...

Trades code contractid filled_datetime filledtrade filledprice 3086 CAC 201504 2015-03-25 11:24:37 -1 5049.50 3083 KR3 201506 2015-03-25 02:21:55 1 109.29 3093 NASDAQ 201506 2015-03-25 16:01:21 -1 4368.00 3094...

If you backtest first the performance of your WFA will be massively overstated, since you're only testing stuff that you know already works. This could give you overconfidence, leading to overbetting and overtrading.

Trades code contractid filled_datetime filledtrade filledprice 3070 AUS3 201506 2015-03-24 02:27:38 1 98.27000 3067 AUSSTIR 201606 2015-03-24 02:04:13 1 98.05000 3073 BOBL 201506 2015-03-24 07:33:16 -1 129.23000...

I'm not sure what your motivation is in posting your strategy. You wanted advice (all of which I agree with), and you've got it. Fitting on one market isn't a great idea for a model you hope to use across multiple markets (even if you then extend it to other markets as an out of sample test, I...

Todays trades: code contractid filled_datetime filledtrade filledprice 3057 AUD 201506 2015-03-23 07:25:55 1 0.777100 3056 AUSSTIR 201606 2015-03-23 08:31:17 2 98.020000 3063 CORN 201512 2015-03-23 14:06:19 2...