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February 23, 2021 by Corvin Codirla Leave a Comment

Improving your Python Backtesting – From DataFrames to Cython [Part 2]

Improving your Python Backtesting – From DataFrames to Cython [Part 2]

In Part 1 we used simple Python to Improve our Backtesting times.  Starting out with DataFrames we took a simple RSI strategy over a period of 7000 days and reduced from 7.3 seconds (which is a complete joke; sorry Pandas!) down to 0.003 seconds by converting everything to lists. But if you recall the comparison […]

Filed Under: Trading Strategies Tagged With: Backtest, Python

January 26, 2021 by Corvin Codirla 2 Comments

Improving your Python Backtesting – From DataFrames to Cython [Part 1]

Improving your Python Backtesting – From DataFrames to Cython [Part 1]

Intro Backtesting is every systematic trader’s basic tool. And Python is becoming the lingua franca of programming. So putting Python into Backtesting to get fast results should be possible! Yes and no! In this article, we’ll cover how to really improve your Python backtesting and boost your speeds by several orders of magnitude! First a […]

Filed Under: Trading Strategies

November 8, 2017 by Corvin Codirla Leave a Comment

Equities Mean Reversion

Equities Mean Reversion

Equities mean-reversion works right now. And as part of Building Consistently Profitable Trading Systems it forms a key component. In this article we’ll present the final version of the mean-reversion system to form part of the trading toolbox, and the final portfolio. It’s the Larry Connor’s RSI2 strategy.  And it’s based on the two concepts […]

Filed Under: Trading Strategies Tagged With: Backtest, Kelly, Performance Measures, Sharpe Ratio, SP500, Trading Systems

November 1, 2017 by Corvin Codirla Leave a Comment

Equities Mean Reversion and Market Regimes

Equities Mean Reversion and Market Regimes

In this second part of the Mean-Reversion in Equities series we’ll cover the reasons behind why mean reversion works in various market regimes. In the previous article we combined the idea of looking at two consecutive down-days combined with buying the S&P 500 while it was below its five day moving average. A question that […]

Filed Under: Trading Strategies Tagged With: Backtest, EURSEK, Mean Reversion, Performance Measures, SP500, Trading Systems

October 17, 2017 by Corvin Codirla Leave a Comment

Equities and Their Mean Reversion Habits

Equities and Their Mean Reversion Habits

At last!  We’ve made it to the mean-reverting part of the series, starting with our focus on equities and their mean-reversion habits. So, here’s the deal.  We’re going to keep it simple, just like in the previous three posts, and start from the ground up.  Over the following series we’ll culminate in a simple, straightforward […]

Filed Under: Trading Strategies Tagged With: Backtest, Market Timing, Performance Measures, Sharpe Ratio, SP500, Trading Systems

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