Papers

Books and Papers on Testing Trading Ideas

Books

Introduction to Testing Trading Ideas is here.
The Little Book of Trend Days is here.

How to Build a Six Month Forecast, 8/19/11 – 2/17/12, 08/21/11
Evolution of a Buy and Hold Model, 06/18/11
Adding Randomness During System Development, 06/12/11
The Little Book of Trend Days, 05/30/11
Expertise Slippage, 11/28/10
Life Without Stops, 02/15/10
The Machine Analogy, 11/15/09
Trending High Volume Stocks – Preview, 09/13/09
Pre-Validating a Trading Idea – A First Look at Brett’s Transition Trading System, 09/07/09
Validating the Trend Day Indicator, 09/06/09
Two Rules Governing the Success of Trading System Automation, 09/05/09
Simple Tools for Testing Trading Ideas, 07/18/09
Distribution of High and Low Ticks in Different Market Regimes, 06/26/09
Actual Risk-to-Reward Ratio Since Recession Began, 06/14/09
A Chess (and Trading) Story, 06/04/09
The Questions Are More Important Than the Answers, 04/17/09
How to Build a Simple Swing Trading System, 04/06/09
Testing for Changes in Market Structure, 04/02/09
Using Stops as Entry Filters, 03/11/09
(The Realities of) Adaptive and Fixed Stops over Time, 03/07/09
Using Control Charts to Monitor Trading Systems and Indicators in Uncertain Times, 03/01/09
How to Build a Simple Pivot-based Trading System, 02/24/09
Trading System Insights from Shane Battier, 02/19/09
Red Light Green Light Indicator, 02/17/09
Evaluating a Trading System, 01/31/09
Building a Simple Currency Trading System, 01/20/09
A System Ranking Metric, 01/08/09
An Adaptive Moving Average Using VIX, 01/02/09
Expended Energy 2008, 12/22/08
The Drift Channel, 10/09/08
Leverage, 10/02/08
Getting Better, 08/16/08
Discrete or Continuous, 07/29/08
Three Ideas, 07/25/08
Drift as a Function of VIX, 07/12/08
Trading Ideas Wordle, 07/11/08
P&L Forecaster, Part 2, 07/04/08
Firecracker Indicator, 07/02/08
P&L Forecaster, 06/22/08
S&P Mirror Chart, 06/11/08
ETF Basket Trader, Part 2, 06/10/08
ETF Basket Trader, 06/08/08
Trading and the Intersection of Math and Psychology, 06/03/08
Evaluating Systems With Control Charts, 05/29/08
Seven Trading System Ideas, 05/24/08
The Circular Nature of Risk and Expecation, 05/21/08
Three Charts, an Idea and a Trading System, 04/20/08
Adverse Excrusions Oscillator, 04/09/08
Lessons Learned, 04/06/08
Using Range to Forecast the S&P, 04/02/08
A Diet for Traders, 03/30/08
The Market as a Traffic Jam, 03/21/08
Second Order Immersion, 03/15/08
Estimated Drift and the Close-to-Close Oscillator, 03/06/08
Afternoon Std Dev = 1.5 + .27 * Morning Std Dev, 03/05/08
The Qualitative Value of a Pattern, Part IV, 02/28/08
The Qualitative Value of a Pattern, Part III, 02/27/08
The Qualitative Value of a Pattern, Part II, 02/26/08
The Qualitative Value of a Pattern, 02/24/08
Dependency Tests for Trading Systems, 01/25/08
Control Charts and System Forecasting, 01/20/08
Buy Strength or Buy Weakness?, 01/19/08
The Fundamental Macro Equation of the Present, 11/29/07
Experiment: Does News Matter?, 10/04/07
Book Review: This is Your Brain on Music, 09/29/07
Adverse Excursions Part 5: Hypotheses, 09/21/07
Risk/Reward Indicator FAQ, 09/15/07
Single Market, Multiple Timeframe Model, 09/05/07
Adverse Excursions Part 4, Monthly Return Regimes, 08/25/07
Adverse Excursions Part 3, A Risk Reward Indicator, 08/16/07
Rolling Optimal f, 08/13/07
Chart: Post Event Volatility, 08/03/07
Adverse Excursions, Part 2, 08/02/07
Adverse Excursions, 07/26/07
How Do You Know You Are Getting Better?, 07/19/07
A Search Engine Trading System, 07/15/07
Graph: Daily Change vs Volatility by Quartile, 07/01/07
Graph: Daily Change vs Volatility, 06/30/07
Journal: Designing a Universal Trading System, 06/24/07
Photosynth Technology, 06/24/07
The Art of Learning, 06/09/07
Understanding, 05/18/07
16 Patterns, 05/04/07
Mind Over Markets, 05/02/07
Stops, 04/04/07
Incremental Alpha Added by Discretion, 02/21/07
Introduction to Testing Trading Ideas, 02/13/07
Hierarchical Temporal Memory, 02/06/07
Rules-of-Thumb, 02/02/07
Cycle Accumulator, 01/30/07
Cycles, 01/25/07
More Anatomies of Trading Systems, 01/19/07
Anatomies of Trading Systems, 01/18/07
Anatomy of a Trading System, 01/15/07
The Energy Expended by a Market, 01/01/07
Machine Learning and Viable Trades, 12/27/06
Building a Quant Development Team, v2, 12/26/06
The Next Move, 12/20/06
The Number of Viable Trades, 12/08/06
Analogies Between Chess and Trading, 11/28/06
System Ranking Metric, 11/18/06
Orientation, Exploration, Investitagion and Proof, 08/16/06
The Perfect Chocolate Milkshake, 08/03/06
The Lego Trading System, 07/17/06
Predator-Prey, 04/30/06
Why Successful Traders Regress to the Mean, 01/20/06
Classes of Anomalies, 01/13/06
The First Law of Collaboration and the First Law of Anomalies, 01/06/06
Forecasting and Nuance, 12/30/05
Late at Night, 12/17/05
Searching for Answers, 12/14/05
The Six Rules of System Development, 12/07/05
It is the Adventurers Who Accomplish Great Things, 12/05/05
A Thing Rests by Changing, 11/28/05
Building a Recursive Team to Implement the Recursive Framework, 11/23/05
A Recursive Framework for Modular Trading System Development, 11/21/05
An Inkling of The Law of Future Expectations, 11/18/05
Scanning Moving Average Crossover, 11/9/05
The Axiom of the Small Edge, 11/3/05
A System for Accumulating a Stock, the AAPL Accumulator, 10/29/05
On Dr. Niederhoffer and Refco, 10/23/05
Eights and Nines, 10/14/05
Fibonacci Abstractions, 10/10/05
The 2×2 State Machine as Trading System, 10/07/05
Animating an Answer to Search for a Question, 10/01/05
Hurricanes and Markets: Hurricane Data and a Forecast, 9/23/05
Playing with Data, 9/17/05
New Kind of Science as Inspiration, 9/10/05
A Hypothesis About Exit Strategies, 9/05/05
Tactical Trading with Mechanical Systems, 9/03/05
The Benefits of Collaboration, 8/29/05
Einstein on Trading, 8/27/05
Using ‘Or’ Instead of ‘And’, 8/20/05
Monitoring Systems with Control Charts, 8/18/05
The Transition to Automation, 8/18/05
The Transition to Automation, 8/18/05
The Second Fundamental Question of Trading, 8/14/05
The Heavy Equipment Operator

Henry Carstens
Vertical Solutions
carstens@verticalsolutions.com