Tag Archives: Matlab

Trimmed performance estimators

This is a quick follow-up on my previous post on Quantile normalization. Instead of removing just the top X quantile of returns/trades when optimizing a strategy’s parameters space, my recent approach has been to remove the top and¬†bottom X quantiles, … Continue reading

Posted in On backtesting, Performance Metrics | Tagged , , , | Leave a comment

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

Posted in Trading Strategies Design | Tagged , , | 7 Comments