Posts

Combining diversified alpha to deliver superior Sharpe

By Marcus Williamson

In this article I show that very basic quantitative trading strategies that generate returns from different market behaviours, when combined, can provide a more desirable and stable returns stream, as reflected in a Sharpe ratio higher than any individual strategy. We show how absolute returns can be some-what ‘sacrificed’ for an improved risk adjusted return stream, which then can be later leveraged as per the investors risk appetite. Read more

Getting Started: Building a Fully Automated Trading System.

 

By Jacques Joubert

For the last 6 months I have been focused on the process of building the full technology stack of an automated trading system. I have come across many challenges and learnt a great deal about the two different methods of backtesting  (Vectorised and Event driven). In my journey to building an event driven backtester, it came to my surprise that what you would end up with is close to the full technology stack needed to build a strategy, backtest it, and run live execution.

My biggest problem when tackling the problem was a lack of knowledge. I looked in many places for an introduction to building the technology or a blog that would guide me. I did find a few resources that I am going to share with you today. Read more

Protected: Vectorised Backtest in R

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Protected: Backtesting in Excel: Adding a Stop Loss

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Protected: Backtesting in Excel: Adding position sizing

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Protected: Building a simple moving average (SMA) crossover strategy in Microsoft Excel

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Getting started with Backtesting

Foreword by Joshua Ulrich:

Jacques reached out to me to discuss the Backtesting in Excel and R series on my blog, FOSS Trading. Inspired by that series, Jacques wanted to create a more detailed explanation of how to backtest a strategy in Excel and R, and then to extend the examples to an event-based backtesting framework.

Jacques is providing a great service to the community by providing a more detailed, step-by-step approach to testing trading strategies. I’m sure it will help many people who want to learn more about backtesting, but are unsure how to get started. Read more