A trading system should have as few tuning parameters as possible: simple is better than complex. Simple systems work best when suited to the current price regime. If we can identify N price regimes, we can build N simple trading systems. If current price behavior can be seen as a synthesis of the different price regimes, then our strategy should be the same synthesis of the different trading systems.
Project 1: Price Series Characterization
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Motivation:
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Price Regimes
Garbage In => Garbage Out
Everything in trading system design starts with the raw data: GI=>GO.
For my purposes at this time, I do not require live tick data nor do I require greater granularity than EOD data.
To date, the best source I have found is CSI. They claim very low error rates and the data is reasonably priced. It comes with a good software package, Unfair Advantage, which gives you control of roll logic and splicing method to create series for back-testing.
For my purposes at this time, I do not require live tick data nor do I require greater granularity than EOD data.
To date, the best source I have found is CSI. They claim very low error rates and the data is reasonably priced. It comes with a good software package, Unfair Advantage, which gives you control of roll logic and splicing method to create series for back-testing.
Labels:
Data Validation
Some useful tools ...
I expect I will have a need to present math, diagrams, charts, tables, R code. So there are a number of HTML tools I am going to need to get started. My HTML experience to date amounts to modifying pre-existing templates on blogger, so I have a fair way to go.
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Equations
It's been a while
After a long hiatus I have decided to fire up this blog again. The prior theme was macro-economic. Going forward I want to talk about system trading.
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