Backtesting

Most traders test their trading ideas on all their available data and conclude “yes or no” to go live with the strategy. But it’s a major problem with this method: You test on known data – not unknown. Almost all backtests are to a certain degree curve-fitted – mostly unconsciously. The missing element is out…

Survivorship bias in trading and backtesting is about the things we don’t see or to a certain degree ignore. We tend to see the winners and not the losers. Unfortunately, this is very typical in trading and backtesting. To avoid this, you need to understand what survivorship bias in trading is. In this article, we…

There are many reasons why someone starts quant trading. Freedom, independence, wealth, and scalability are a few reasons why someone starts trading, but we suspect the drive for instant wealth is the driving force for many. Yes, independence and freedom are nice, but ultimately many want to get rich in a hurry. Is that likely…

How to become a successful quant trader? Keep reading! To become a very successful and profitable quant trader is difficult and takes years of experience with trial and error. It’s more important that you possess trading skills than coding skills. Connecting to already successful quants is a huge advantage. Having the interest and knack for…

What are quantified trading strategies? Quantified trading strategies are strategies based on finding inefficiencies in financial markets based on numbers, math, and statistics. This is done by studying historical data from the past, mostly time series of the price of financial instruments, and the aim is to detect patterns and relationships that are unlikely to…

Automated trading has an almost endless list of issues that can turn your trading into a disaster. For automated traders, you face another issue in addition to the technicalities of trading: screw-ups with software and programs. Automated trading has many advantages, but the main advantage is the potential mistake of the program sending many wrong…

In one of my current strategies, I was filled en masse today. Usually, that strategy gives me on average 4 fills a day, but today I got 59 fills. Quite unusual! So I stopped the program because I suspected something was wrong. Having continued the program I theoretically would have got over 100 fills/stocks. When…