Archives: WealthLab

Trend-Following Indicator Back-Tests

March 6, 2012 | By jackieannpatterson | 2 Comments | Filed in: Technical Strategies.

Have a look at my research on trend-following indicators in which I systematically analyzed 10 ways to ride the trend in US stocks. The back-testing was done with Wealth-Lab Pro(R) for Fidelity Investments. The stocks considered were the S&P500 components. The 10 indicators tested were: Average Directional Movement Index (ADX) Commodity Channel Index (CCI) Channel • Read More »

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Backtesting Engine Definition

November 6, 2008 | By jackieannpatterson | 1 Comment | Filed in: Glossary.

The Backtesting Engine is the core software doing the backtest.  It takes as inputs the historical price data and trading strategies. The backtesting engine applies the trading strategies to the historical price data to get a series of hypothetical trades and records the results. The outputs of the backtesting engine are typically performance statistics.    I have added instrumentation to gather • Read More »

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