5-Fold Cross-Validation Example
An example of a 5-Fold Cross-Validation study to investigate the robustness of a simple systematic trading strategy.
GI => GO (V) Data Validation
Some additional rules to add to your managed futures price series data validation protocol.
Escalator Up Elevator Down: Asymmetry in Price Moves
In describing price moves we often hear the expression escalator up elevator down. But is it really true? We investigate.
Garbage In => Garbage Out
Everything in trading system design starts with the raw data: GI=>GO. For my purposes at this time, I do not require live tick data nor do I require greater granularity than EOD data. To date, the best source I have found is CSI. They claim very low error rates and...Ian Rayner
Hedge fund advisor: Make smarter allocations. Build better portfolios.