Papers
Papers on trading system development.
The free ebook Introduction to Testing Trading Ideas is here.
- The Machine Analogy, 11/15/09
- Trending High Volume Stocks - Preview, 09/13/09
- Pre-Validating a Trading Idea - A First Look at Brett's Transition Trading System, 09/07/09
- Validating the Trend Day Indicator, 09/06/09
- Two Rules Governing the Success of Trading System Automation, 09/05/09
- Simple Tools for Testing Trading Ideas, 07/18/09
- Distribution of High and Low Ticks in Different Market Regimes, 06/26/09
- Actual Risk-to-Reward Ratio Since Recession Began, 06/14/09
- A Chess (and Trading) Story, 06/04/09
- The Questions Are More Important Than the Answers, 04/17/09
- How to Build a Simple Swing Trading System, 04/06/09
- Testing for Changes in Market Structure, 04/02/09
- Using Stops as Entry Filters, 03/11/09
- (The Realities of) Adaptive and Fixed Stops over Time, 03/07/09
- Using Control Charts to Monitor Trading Systems and Indicators in Uncertain Times, 03/01/09
- How to Build a Simple Pivot-based Trading System, 02/24/09
- Trading System Insights from Shane Battier, 02/19/09
- Red Light Green Light Indicator, 02/17/09
- Evaluating a Trading System, 01/31/09
- Building a Simple Currency Trading System, 01/20/09
- A System Ranking Metric, 01/08/09
- An Adaptive Moving Average Using VIX, 01/02/09
- Expended Energy 2008, 12/22/08
- The Drift Channel, 10/09/08
- Leverage, 10/02/08
- Getting Better, 08/16/08
- Discrete or Continuous, 07/29/08
- Three Ideas, 07/25/08
- Drift as a Function of VIX, 07/12/08
- Trading Ideas Wordle, 07/11/08
- P&L Forecaster, Part 2, 07/04/08
- Firecracker Indicator, 07/02/08
- P&L Forecaster, 06/22/08
- S&P Mirror Chart, 06/11/08
- ETF Basket Trader, Part 2, 06/10/08
- ETF Basket Trader, 06/08/08
- Trading and the Intersection of Math and Psychology, 06/03/08
- Evaluating Systems With Control Charts, 05/29/08
- Seven Trading System Ideas, 05/24/08
- The Circular Nature of Risk and Expecation, 05/21/08
- Three Charts, an Idea and a Trading System, 04/20/08
- Adverse Excrusions Oscillator, 04/09/08
- Lessons Learned, 04/06/08
- Using Range to Forecast the S&P, 04/02/08
- A Diet for Traders, 03/30/08
- The Market as a Traffic Jam, 03/21/08
- Second Order Immersion, 03/15/08
- Estimated Drift and the Close-to-Close Oscillator, 03/06/08
- Afternoon Std Dev = 1.5 + .27 * Morning Std Dev, 03/05/08
- The Qualitative Value of a Pattern, Part IV, 02/28/08
- The Qualitative Value of a Pattern, Part III, 02/27/08
- The Qualitative Value of a Pattern, Part II, 02/26/08
- The Qualitative Value of a Pattern, 02/24/08
- Dependency Tests for Trading Systems, 01/25/08
- Control Charts and System Forecasting, 01/20/08
- Buy Strength or Buy Weakness?, 01/19/08
- The Fundamental Macro Equation of the Present, 11/29/07
- Experiment: Does News Matter?, 10/04/07
- Book Review: This is Your Brain on Music, 09/29/07
- Adverse Excursions Part 5: Hypotheses, 09/21/07
- Risk/Reward Indicator FAQ, 09/15/07
- Single Market, Multiple Timeframe Model, 09/05/07
- Adverse Excursions Part 4, Monthly Return Regimes, 08/25/07
- Adverse Excursions Part 3, A Risk Reward Indicator, 08/16/07
- Rolling Optimal f, 08/13/07
- Chart: Post Event Volatility, 08/03/07
- Adverse Excursions, Part 2, 08/02/07
- Adverse Excursions, 07/26/07
- How Do You Know You Are Getting Better?, 07/19/07
- A Search Engine Trading System, 07/15/07
- Graph: Daily Change vs Volatility by Quartile, 07/01/07
- Graph: Daily Change vs Volatility, 06/30/07
- Journal: Designing a Universal Trading System, 06/24/07
- Photosynth Technology, 06/24/07
- The Art of Learning, 06/09/07
- Understanding, 05/18/07
- 16 Patterns, 05/04/07
- Mind Over Markets, 05/02/07
- Stops, 04/04/07
- Incremental Alpha Added by Discretion, 02/21/07
- Introduction to Testing Trading Ideas, 02/13/07
- Hierarchical Temporal Memory, 02/06/07
- Rules-of-Thumb, 02/02/07
- Cycle Accumulator, 01/30/07
- Cycles, 01/25/07
- More Anatomies of Trading Systems, 01/19/07
- Anatomies of Trading Systems, 01/18/07
- Anatomy of a Trading System, 01/15/07
- The Energy Expended by a Market, 01/01/07
- Machine Learning and Viable Trades, 12/27/06
- Building a Quant Development Team, v2, 12/26/06
- The Next Move, 12/20/06
- The Number of Viable Trades, 12/08/06
- Analogies Between Chess and Trading, 11/28/06
- System Ranking Metric, 11/18/06
- Orientation, Exploration, Investitagion and Proof, 08/16/06
- The Perfect Chocolate Milkshake, 08/03/06
- The Lego Trading System, 07/17/06
- Predator-Prey, 04/30/06
- Why Successful Traders Regress to the Mean, 01/20/06
- Classes of Anomalies, 01/13/06
- The First Law of Collaboration and the First Law of Anomalies, 01/06/06
- Forecasting and Nuance, 12/30/05
- Late at Night, 12/17/05
- Searching for Answers, 12/14/05
- The Six Rules of System Development, 12/07/05
- It is the Adventurers Who Accomplish Great Things, 12/05/05
- A Thing Rests by Changing, 11/28/05
- Building a Recursive Team to Implement the Recursive Framework, 11/23/05
- A Recursive Framework for Modular Trading System Development, 11/21/05
- An Inkling of The Law of Future Expectations, 11/18/05
- Scanning Moving Average Crossover, 11/9/05
- The Axiom of the Small Edge, 11/3/05
- A System for Accumulating a Stock, the AAPL Accumulator, 10/29/05
- On Dr. Niederhoffer and Refco, 10/23/05
- Eights and Nines, 10/14/05
- Fibonacci Abstractions, 10/10/05
- The 2x2 State Machine as Trading System, 10/07/05
- Animating an Answer to Search for a Question, 10/01/05
- Hurricanes and Markets: Hurricane Data and a Forecast, 9/23/05
- Playing with Data, 9/17/05
- New Kind of Science as Inspiration, 9/10/05
- A Hypothesis About Exit Strategies, 9/05/05
- Tactical Trading with Mechanical Systems, 9/03/05
- The Benefits of Collaboration, 8/29/05
- Einstein on Trading, 8/27/05
- Using 'Or' Instead of 'And', 8/20/05
- Monitoring Systems with Control Charts, 8/18/05
- The Transition to Automation, 8/18/05
- The Transition to Automation, 8/18/05
- The Second Fundamental Question of Trading, 8/14/05
- The Heavy Equipment Operator
Henry Carstens
Vertical Solutions
carstens@verticalsolutions.com