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Quantitative trading strategies use quantitative signals and a set of predefined systematic rules to make trading decisions. Strategies operate within parameters based on historical analysis (backtesting) and real world market studies (forward testing). Strategies may be executed manually (by a human trader) or automatically (by a computer).

1 vote

Given future price probability distribution, what is a strategy that maximizes return?

If you have an accurate 'future price probability distribution' (I will simplify this phrase: prediction), you buy the futures contracts (or any instrument) using leverage in a grid that covers the ex …
  • 259
1 vote

How to properly evaluate backtest returns?

@hroptatyr, @Steve, @Tal Fishman, and others here have alluded to the main problem of evaluating backtests. First we have to define what constitutes a backtest, which is simply an ability to simulate …
  • 259
4 votes

How much data is needed to validate a short-horizon trading strategy?

Surprisingly, no one mentioned the need to ensure that the trading strategy can survive different types of market conditions. Suppose that you use @chrisaycock's formula and came up with 5000 trades. …
  • 259