System Development
April 18, 2022
Combining Strategies with AmiBroker

I’m a big fan of AmiBroker, particularly the speed and flexibility it provides for backtesting trading strategies. However, one thing that is not particularly straightforward in AmiBroker is combining multiple strategies into a single system. Many quantitative (a.k.a. systematic) traders, myself included, use more than one strategy to help smooth their portfolio returns. The idea […]

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December 10, 2019
The Art of Building a Quantitative Trading System

This is a placeholder for the next exciting blog I'd like to write on getting into the detail of building an algo.

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October 8, 2019
Introduction to Auto Trading

My colleague Dave Di Marcantonio runs several web sites, including AmiBroker Courses where I sell some of my training courses. Dave recently published an introduction to trading automation, sometimes referred to as auto trading. Dave’s course also provides details about Alera Portfolio Manager, a new trading automation solution. APM can be integrated directly with AmiBroker but also […]

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October 8, 2019
Beat the Market with a Simple SuperTrend Strategy

Recently I gave a presentation describing the process of creating and validating a simple trading strategy using AmiBroker. In this case, the instruments traded were the NIFTY and Bank NIFTY indices from the NSE in India, and the primary indicator used was the SuperTrend indicator. Although the performance results of the strategy are quite respectable, […]

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July 8, 2019
Strategy Tuning With Market Types

In a previous post we examined how back test results could be summarized for different market types. In today’s post, we’ll look at how we can use that information to tune our strategy for live trading. As the basis for this exercise, we will use a modified version of the short mean reversion strategy known […]

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December 27, 2018
Adaptive Strategy Presentation

Last night I revisited the topic of creating adaptive strategies for an audience from the AmiBroker Canada User Group and a local chapter of the Canadian Society of Technical Analysts. The presentation was well-received, and the audience asked thoughtful questions at the end. If you want to listen in, the recording can be found here.

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September 27, 2018
SuperTrend Indicator

I recently completed a client project that utilizes the SuperTrend indicator. The indicator is basically a variation on other types of volatility bands, using a multiple of ATR to define bands above and below the current average price. The SuperTrend line follows the lower band when the price is in an up trend (has most […]

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May 20, 2018
Cesar’s First Rule

Much of what I know about the practical aspects of backtesting I learned from two of my colleagues at Connors Research, Cesar Alvarez and David Weilmunster. One particularly important lesson was Cesar’s observation that “if the results seem too good to be true, they probably are”. This situation comes up often enough that I now […]

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