The Papers page has new content

A new paper, entitled “Assessing Trading System Health,” has been added to the Papers page.  The paper describes a technique for validating that the system developed in-sample does have predictive value and will probably be profitable in future trading.  It continues on with further techniques for assessing the ongoing health of the system and adjusting position size to reduce the risk of a drawdown that exceeds the trader’s tolerance.  Complete details, including code, is presented.

This is a link to the Papers page

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