I had a few spare moments so I thought I would play around with the Portfolio123 simulator and see if I could come up with any new trading ideas. Small Cap Investing Strategy Rules The first thing that came to mind was to look at ideas for small-caps, since smaller companies outperform larger ones over […]
Recently, a reader questioned the trading systems that are presented in my book and course. I do not actually know whether they bought the book or the course or not but they emailed me to say that none of the trading systems presented work.
Monte Carlo analysis involves the use of algorithms to generate random repeated sampling of results. Typically, Monte Carlo is used to run a large number of simulations in order to find the likely probability distribution of an unknown event.
I have spoken before that I am a fan of the Dollar Cost Averaging (DCA) method for investing in stocks. Particularly as a way to invest a regular stream of income. In this article I present a new take on the traditional DCA approach and suggest a way investors can further improve their returns. I […]
I must admit that I have never really dabbled in penny stocks. Like most, I’m all too aware of the blatant risks trading in smaller cap shares. While there are plenty of legitimate companies, many stocks that trade under one or two dollars are just shells for more dubious operations.
In this article I look at the differences between paid, good quality stock market data and free end-of-day stock data. When designing and building trading systems it is crucial to have reliable and clean end of day stock data. I use Amibroker to chart and back-test trading systems but no matter what platform you use, common sense […]
Designing a trading system is about following the right processes and being conservative in your assumptions. I have already talked about the pitfalls of selection bias and I’ve spoken of the importance of stress-testing a trading system thoroughly. Now I shall answer the question ‘what is slippage’ and how does slippage affect trading system performance.
In order to back-test and optimise a trading system you’ll need at least two things; a back-testing platform like Amibroker, and some historical stock market data. When it comes to historical stock data there are plenty of options available depending on what you want to do. Historical stock market data for Amibroker Amibroker comes with […]
Ever since the release of Flash Boys by Michael Lewis, the interest in algorithmic trading has gone up another notch. But there is good reason for this because algorithms really are taking over the world and taking over Wall Street in particular. Src: Perpetual Tourist Most people talk of algorithmic trading and automatically think of HFT […]
I spoke previously about the dangers of survivorship bias and the relevance of start date. I also spoke about the need to keep data out of sample and to keep the number of optimisable parameters as low as possible in order to avoid data mining. As well, I mentioned how the only true out of […]