1) Backtest
2) Walk-forward test
3) Optimization
4) Pyramiding/Scaling (sigScalein/sigScaleout)
5) Commissions
6)
Friday, July 2, 2010
Pre-requisites for testing
First and foremost, I need loads of data to test. This data will be divided for backtesting and walk-forward testing.
1) Download BSE EOD data from BSE website. I already have data for the last 3 months. BSE provides data from Jan 2007 till date. So that is approx 3.5years worth of data for 3000 bse stocks. Probably that should be enough.
2) Trading system in amibroker needs to be tweaked for backtesting, introducing SLs and Targets.
I will add more points as needed.
1) Download BSE EOD data from BSE website. I already have data for the last 3 months. BSE provides data from Jan 2007 till date. So that is approx 3.5years worth of data for 3000 bse stocks. Probably that should be enough.
2) Trading system in amibroker needs to be tweaked for backtesting, introducing SLs and Targets.
I will add more points as needed.
Failure of the Coiled spring strategy or lack of testing
It has been a losing streak for quite a long number of days now. After trying out Price action sanuk and Buff trading, I was trying out Coiled spring trading. Needless to say, it performed worse than the other too. Well on a macro retrospection, I came to the conclusion that out of the three strategies, coiled spring gave the maximum returns. Maybe I could not milk the strategy due to lack of Optimisation and Testing of the trading system. So this is the plan. I am going to run all possible tests, optimizations, walk-forward tests to see how the trading system performs. It might take a week to do the same. I would be refraining from realtime trading during this testing.
Friday, March 26, 2010
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