Sell In May

I'm not forecasting whether there will be selling in May, but I am saying one thing. I will be going away. At least from trading for the month. My bond system, the primary system I run, does not trade in May. Nor does it trade in November. Which at first was odd to me. But…
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Improving Performance

I recently made a minor change, improving performance in my bond system. Very minor, but the protocol used to determine whether to implement this change was anything but. Every day I come up with some idea to test. Some conditional statement, rule, you name it in hopes of finding performance. Like a scientist in the lab,…
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Strategy Win Rate

I previously wrote about strategy win rate (found here), with a focus on how high win rates can be very misleading. How on the surface, a high win rate would imply a superior system versus one with a lower win rate. I want to expand on this idea further.  More so from a psychological standpoint.…
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Avoiding Curve Fitting

Avoiding curve fitting is something every developer must do. Else they risk following a very dangerous path.  A path based on the belief that their strategy is far more robust. Causing them to go into production too soon and lose a bit of capital. The concept of curve fitting is best defined using its synonym over…
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