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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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Would you like to build consistently profitable trading systems from scratch? This article series does exactly that.  Here are the steps which we’ll work through:
  • Define the underlying principles of a successful trading approach
  • Determine the assets which obey these principles
  • Determine rule sets for trading these assets
  • Work out a straightforward portfolio construction method
That’s the theory. In this article-series we’ll go a step further and look at how to implemen… Read more
Building Consistently Profitable Trading Systems – Principles of a Successful Trading Approach, Part 1
Python Backtesting

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!

Welcome
Equity Mean Reversion
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 (and well known) system that still works. In detail for this article:
  • What do we mean by mean-reversion and how can we measure it?
  • What are some natural meth… Read more
Equities and Their Mean Reversion Habits
Short update on AUDUSD and the AIG Construction index on the 7th January, 2016, 22:30 GMT. There is a reason ForexFactory labelled this as yellow (which seems to be the lowest importance rating they give to news releases). The market was completely comatose, both from a tick count per minute basis, as well as from the perspective of the bid/ask: was wide / stayed wide / couldn’t be bothered. And of course AUDUSD stayed where it was as well. However, both of these are poor indications to dra… Read more
More on AUDUSD dynamics and News Events: what happens when the event is not important?
More Money Than God: Hedge Funds and the Making of the New Elite is simply WOW! All I can say is WOW! Mallaby apparently held in excess of 1000 interviews and was given access to emails by some of the main players in the history of hedge funds. If you have read the Market Wizards trilogy, then this book actually fleshes out some of these individuals and provides the historical setting. The book is made up of 14 Chapters, which track the history of hedge funds both chronologically and stylist… Read more
Book Review: More Money Than God
Many people ask if there are any particular technical setups that I like to look at and what the best way to trade them is. My all-time favorite heavily involves Support and Resistance levels, and using these as breakout levels. The art lies in finding them and then managing trades appropriately. In this article we’ll focus on using Bullish and Bearish Engulfing Bars to identify support and resistance levels, and present the analysis that goes behind implementing such a system. Implementati… Read more
Bullish & Bearish Engulfing Bars (Part I)
Taking Control of Your Trading Numbers is Taking Control of Your Profits
Taking Control of Your Trading Numbers – that means actually being able to replicate the results that others produce.  It’s the only way to be sure that you know what’s going on. Well, many people got back after last week’s article asking about the details of the calculations as well as about some of the more technical jargon:
  • What do I mean by asset?
  • What’s an asset bias?
  • What does it mean to risk-adjust returns?
  • How can I go about calculating the charts in the article?
  • How … Read more
Taking Control of Your Trading Numbers

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