I start this blog while immersed in the early phases of my fourth major US stock market backtesting effort.
The purpose of the blog is to record my key decisions and tactics for backtesting. I intend it to be a resource for traders and active investors . I hope that others will learn from my efforts and we all learn from each others’ comments and discussion.
My goals for backtesting are:
1. Design trading strategies for my own use. Specifically,
- US Stock Market
- both buying long and short selling
- investigate both trend following and band trading
- swing trading: end-of-day (EOD) or daily charts and trades that last several weeks
2. Provide information that other traders can use to develop their own systems. That includes the areas above, and in addition, I want to illustrate for new traders such key concepts as:
- stop loss orders
- market orders vs limit orders vs stop entry orders
- trailing stops
- price targets
- indicators like moving average, RSI, MACDH, Stochastic
3. Do this with a scope and scale that goes beyond the resources typically available to private traders, including:
over 15 years of historical data
multiple time periods to avoid curve fitting
crude and robust strategies only…limited fussing with parameters
statistically sound methodologies
monte carlo simulations to generalize beyond the given data
Let’s dive in!
(Backtesting Blog is an Amazon Associate.)