Category Archives: Trading Strategies Design

We don’t quite know what moving averages are

A couple of days ago I was reflecting on what the moving average of a price really is. The idea stemmed from the consideration that any price can be expressed as a starting price plus the sum of subsequent returns. … Continue reading

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Defining a market VS characterizing a market

When trying to analyse market data it is common practice to use techniques borrowed from different fields to transform the data. Examples of these are probability distributions of price returns, moving averages, autocorrelations, rolling volatility¬†estimates, ¬†data mining techniques and pretty … Continue reading

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The perils and rewards of Diversification: improve your system’s Sharpe Ratio

Without exaggeration, diversification is one of the most powerful tools of a trader, allowing to enhance many characteristics of a system with relatively little effort. However, as with many things, one has to be very careful on using it properly. … Continue reading

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Adaptive Position Size

Position sizing is very important in any style of trading, being it discretionary, systematic or fully automated, and can easily be the determinant factor in whether your trading is profitable or not. In regards to this, I found some interesting … Continue reading

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