Claude Shannon was an American mathematician, cryptographer, engineer and computer scientist who lived in the 20th century and died in 2001 aged 84. Sometime in the 1960s at MIT he came to a theory of rebalancing that is now called Shannon’s Demon. I saw it randomly already a few years ago on the web and […]
Tag: backtesting
The past is not a good guide to make predictions about the future because the future will be different. One should take as little as possible but as much as necessary from a backtest. A backtest shows how an idea would have worked out in the past if one followed a specific set of rules. […]
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The house edge
In a casino you want to be the house not the gambler. Think of the house edge. The more people come to play, the more a casino can take advantage of its statistical positive expectancy. I hadn’t put much thought to it until couple of years ago a backtest clicked to me. A smaller edge […]
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Timing the Nasdaq 100 index (QQQ)
Earlier this year I posted a simple strategy on how to beat the S&P 500 index with market timing. I had done the backtest on 21 years of data in AmiBroker. I am now publishing the results of a backtest using the same strategy on the Nasdaq 100 index. The backtest was done in TradeStation on […]
In 2019, my trading started to turn more into quantitative style. First, I backtested ideas manually with charts and spreadsheets, then switched to AmiBroker. I’d been thinking of signing up to TradeStation, a popular trading software and brokerage since the ’90s. Even though AmiBroker Formula Language (AFL) differs from EasyLanguage (EZL) by TS, the process […]