Introduction To Backtesting Metrics Part 2

Kora Reddy of asxiq is back as  a guest contributer with part two of his introduction to backtesting metrics. It follows on from Part One which can be found here. Payoff ratio (Ratio avg win/avg loss): Payoff ratio is the system’s average profit in Dollar terms per winning trade, divided by the average loss in Dollar…

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76% Of All Statistics Are Made Up

Whilst heading to the gym this morning I heard on the radio that police had seized 280 kilogram of methamphetamine with a street value of $205 million. Apart from thinking I was in the wrong business I thought bullshit. The reason I said bullshit was simply the result of a quick bit of mental arithmetic,…

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Stock Sweet Sixteen

Apparently the image below has been doing the rounds as the drivers of US stocks. To which I say…. Simply because it ignores the overriding issue of our perceptual driver. The thing in control of all markets is our own tiny brain and the silly things it does.

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Hedge Funds Fudge Their Data…Say It Isn’t So

From The Economist – Some revisions may be down to cock-up but a closer look hints at conspiracy. Counter-intuitively, most fixes aim to make performance look worse than originally stated. That is probably because two-thirds of funds charge performance fees only if they are at or above their highest valuations. Eager to bring forward the time…

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Not Everything Is As It Seems

Every now and again I tend to review the relative performance of markets to get a sense of what is happening. I also do it to make certain I have not missed something that is glaringly obvious. Such a task is more of an overview hobby because in the world of relative performance not everything…

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Get High Off What You Do

I am not really one for motivational crap – all that Anthony Robbins bullshit that simpletons fall for makes me want to bash my own testicles with a hammer. However, every now again you come across a piece that is really quite simple in its message. Change the lifting metaphors and setting to trading and…

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Rational Rationality.

People are not irrational-at least not as much as we are led to believe. This is because the brain is economic. That is, brains have a limited amount of energy to achieve necessary goals like survival and reproduction. As a result, brains have evolved ways to make decisions in an efficient way. Professor Richard McKenzie at UC…

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Dow Jones-UBS Commodity Indices

I tend to subscribe to very few things, one of the things I do find useful si a monthly report that DJ-UBS produce on their commodity indices The report comes out once a month and has the following format. Looking at a chart is good but your eyes can play tricks on you which is…

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Introduction to Backtesting Metrics

This Friday we have Kora Reddy of asxiq dropping by as  a guest contributer, who for the next three weeks will be going through some of the intricacies of back testing. Why Backtest a strategy? Quick answers to the question: to determine whether a theory or hypothetical construct is valid in historical testing to summarize…

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