Trading Ideas: Automated Japanese market model Sounds a lot like the winning model in a Kaggle competition. Interesting overview of components and methodology.
Good article on False Discovery Rate – the probability that a significant p-value indicates a true effect and one of the reasons that quant tests and systems generally underperform. For example, Market Stress and Market Stress Automations generally test out at around 85% wins. In real life they run about 62%. Here’s the link: http://www.nicebread.de/whats-the-probability-that-a-significant-p-value-indicates-a-true-effect/
Trading systems, discretionary and automated, are a wonderful challenge – and a great story when done right. I used Creative Whack Pack to generate 28 ideas around trading systems – maybe they will trigger some ideas for you, too… 28 Trading System ideas | Imagine You’re the Idea Imagine I’m the market Imagine I’m a child dropped into a market Read more about 28 Trading System Ideas[…]
Trading Systems as Non-Trading Signals I have a question, I call it the First Question: Is today a Trend Day or a Rangebound Day? It is the First Question because it determines how to approach today: momentum or reversion, trade now or trade later. Idea: Given the live P&L’s for the Market Stress automations why Read more about Trading Systems as Non-Trading Signals[…]
As volatility falls there tends to be less trending and more reversion. That means the Market Stress indicators will be signaling more reversion trades and less potential regime shifts and trend continuations. The Automations will be more active. –h