False Discovery Rate

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/

28 Trading System Ideas

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

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[…]