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Fred Piard

 
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  • Profitable Thoughts On Market Breadth And Market Timing [View article]
    Craig,
    The simulation mode was "daily", so SPY dividends are reinvested the next day.
    Sep 13 01:28 PM | Likes Like |Link to Comment
  • Profitable Thoughts On Market Breadth And Market Timing [View article]
    Stephen, thanks for your comment and your kind words. As I wrote, in this case a backtest has no probabilistic meaning because of signal scarcity. Any sample with less that 50 data wouldn't give me satisfaction. As there is a bear market every 5 to 10 years, the stock market is not old enough...
    By the way, when doing backtests the most important thing is not to avoid curve-fitting, but to avoid that IF it is (willingly or unwillingly) curve-fitted, it won't have dramatic consequences. So it is about result stability; here results are quite stable and continuous around the (25,80) point.
    Sep 13 01:18 PM | 1 Like Like |Link to Comment
  • Profitable Thoughts On Market Breadth And Market Timing [View article]
    Thanks for your comment!
    Sep 12 05:15 PM | Likes Like |Link to Comment
  • What You Need To Know About Backtesting A Strategy [View article]
    Thanks Ryan. But I trade stocks and ETPs.
    Sep 8 05:50 PM | Likes Like |Link to Comment
  • What You Need To Know About Backtesting A Strategy [View article]
    Learner16, thanks for your comment
    Sep 7 07:11 AM | Likes Like |Link to Comment
  • What You Need To Know About Backtesting A Strategy [View article]
    Very good read, thanks for the link. Apart from a scientific background, my risk-management school: 30 years in rock climbing, and still learning ;-)
    Sep 7 07:09 AM | Likes Like |Link to Comment
  • What You Need To Know About Backtesting A Strategy [View article]
    Thanks for your comment. "Science is the set of recipes that works, the rest is literature" (Paul Valéry). When my recipes will stop working, I'm ready to change.
    Sep 6 03:13 PM | Likes Like |Link to Comment
  • What You Need To Know About Backtesting A Strategy [View article]
    Thanks for your comment. The alpha error is synonym of "false positive" and the beta error "false negative". I think you can interpret it the both ways depending on your preferred side of the binary decision. I've read different things about the interpretation of the term in quality management (6-sigma) and in a course about statistics in medical studies. I don't know who is right, and in fact it doesn't matter a lot, provided that we know what we are speaking of...
    Sep 6 03:00 PM | Likes Like |Link to Comment
  • What You Need To Know About Backtesting A Strategy [View article]
    Hardog, thanks for your comment.
    I understand what you mean. I wouldn't bet all my money on backtest results, but I am ready to beat a reasonable amount on various strategies with reasonably good backtests. I prefer diversify in quant strategies based on different rationales than on analysts opinions (including mine) or so-called "due diligence" (which offers no more guarantee than a well-managed backtest). My second book, about statistical fundamental analysis, is coming in October.
    Sep 6 02:40 PM | Likes Like |Link to Comment
  • What You Need To Know About Backtesting A Strategy [View article]
    Thanks for the kind words.
    Sep 6 02:32 PM | Likes Like |Link to Comment
  • Hedge Fund ETFs: Alternative Alpha Vs. Guru Index [View article]
    Thanks for the link Jon. I missed it. Very useful.
    Sep 4 07:01 PM | Likes Like |Link to Comment
  • YTD Performance Of My 3 VIX Trading Models [View instapost]
    Thanks. Model1 is hedged (2 positions), so more robust in more market conditions. But not all conditions. I forgot the disclaimer: past performance is not a guarantee etc...
    Sep 4 06:48 PM | Likes Like |Link to Comment
  • Canadian Discounts On Gold And Silver - September Update [View article]
    I guess the trigger for this sell-off was good manufacturing statistics, so a relative lower interest for "safe havens". Add to that just a little bit of HFT, it's so easy to break a support, hunt stops, and paint a PM chart.
    Sep 2 08:07 PM | Likes Like |Link to Comment
  • Canadian Discounts On Gold And Silver - September Update [View article]
    Update: since this article was submitted yesterday, a strong sell-off is under way in the 4 precious metals. Once the dust settles, my guess is that the big players shorts will be drastically reduced. Seasonality is globally supportive for PMs from September until the end of February.
    Sep 2 09:18 AM | 2 Likes Like |Link to Comment
  • Pros And Cons Of Tactical Allocation Explained With A Real Trade [View article]
    Tight stops may transform a winning strategy into a looser. Tactical allocation needs to breath, it looks like swing trading but it is not. I wouldn't use a 5% stop in any of my weekly and monthly strategies, but if you can prove it with simulations on your specific strategy, no problem.
    Aug 16 09:23 AM | Likes Like |Link to Comment
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