Do-it-yourself Investing, Quant tools and thoughts on the market
Fuzzy Logic pt.3: Auto-generate model parameters I often tire of reading these complicated academic papers that are filled with impossible jargon only to make my life harder. I have found that often times the difficult terminology only hides the simple concepts that lie behind. So here I will use a difficult term myself, just to sound smarter …
Read moreFuzzy Logic Optimization -The “WOO-FOO-SMASH-EFIS-MEE-COPT” model
The case for Fuzzy Logic in Trading The more I backtest strategies the more I feel the need for robustness in a system. There is no point to optimize return. One should optimize certainty of positive return. Most strategies that do really well in the past are over complicated and over-fitted and tend to loose money. One …
The point of this post is to provide some basic functions to non professional Matlab users that may help backtest a simple long only system the way Amibroker (and most other software) backtest. If you are an Amibroker user you are used to something this easy: sma9=ma(close,9); sma21=ma(close,21); buy=Cross(sma9,sma21); sell=Cross(sma21,sma9); Wish you could do …
Read moreMatlab for Amibroker Users – Backtesting Functions for Matlab
[pnl,pnlvector, sh]= backtestlongAmount(data,signal,buyprice,delay,amount$$); This is a very basic function for backtesting a strategy in Matlab.All you need is a vector with 1s for Buy, -1’s for Sell and 0’s for Hold. To use it we need1. A vector of prices,i.e. SPY close prices2. Signal: A vector of 1 for BUY, -1 for SELL and 0 …