How do we know we have enough samples of whatever it is we are testing? What amount of trades is the number? When can we be confident we have enough trades to rely on the results of our back test? Jacob Bernoulli, the famous Swiss mathematician, is best known for his introduction of the theorem [...]
In Michael Covel’s book- Trend Following, the legendary trader John Henry is quoted as saying: “We can’t always take advantage of a particular period. However, in an uncertain world, perhaps the investment philosophy that makes the most sense, if you study the implications carefully, is trend following. Trend following consists of buying high and selling [...]
Successful system trading, in spite of the financial rewards, can be frustrating. A quantified mechanical model will take many decisions off the table. Yet, various issues, particularly the psychological approach to the issues, will always be in play. Ed Seykota in the book, “Market Wizards,” writes, “Systems trading is ultimately discretionary. The manager still has [...]
