Abstract
In the prior chapter, we focused mainly on how to collect unbiased, true-to-life trades from systems that made a position decision on each bar and produced a measurable return on each bar. Many trading systems, especially those that are algorithmic rather than model-based, make a decision to open a position and hold this position until a closing rule fires at some indeterminate future time. During that holding period, adjustments to the system may even be made, such as moving a trailing stop. This complicates things.
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© 2018 Timothy Masters
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Masters, T. (2018). Estimating Future Performance II: Trade Analysis. In: Testing and Tuning Market Trading Systems. Apress, Berkeley, CA. https://doi.org/10.1007/978-1-4842-4173-8_6
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DOI: https://doi.org/10.1007/978-1-4842-4173-8_6
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Publisher Name: Apress, Berkeley, CA
Print ISBN: 978-1-4842-4172-1
Online ISBN: 978-1-4842-4173-8
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