Papers
Papers on testing trading ideas.
The free ebook Introduction to Testing Trading Ideas is here.
The free ebook The Little Book of Trend Days is here.
The free book Introduction to Testing Trading Ideas is here.
The free book 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 2x2 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