Sunday February 18, 2018
White PaperA white paper providing a complete specification of a new and improved momentum algorithm has just been completed. It presents numerous performance and reliability tests using extensive amounts of data from 1926 onward and will soon be submitted as a contest entry. Win or lose, it will become available to all in early April.
Friday November 03, 2017
ProgressIt's happening, and at a faster rate. A massive refactoring of the code framework for the Retail Backtest project is now almost complete. Final testing is underway. Very substantial revisions to the project's website will follow.
Friday June 02, 2017
How's About Another Three Theory Posts?Three more theory-tagged entries have been added to the Retail Backtest blog. The posts are happening fairly regularly now, with "Real Vs. Hypothetical", "Why Most Published Research Findings Are False" and "Objectivity and the Trailing Performance Period" being the latest. Does that sound scintillating or what?
Friday April 14, 2017
Use Relative Strength Sparingly?Things have been moving along at the Retail Backtest project. The latest theory-related blog post goes into the profoundly important matter of whether or not the concept of relative strength works. The surprising result that is disclosed is applicable only to Retail Backtest's "walkthrough plus suboptimization" program. But still, it's a bit of a shock. See all of the theory-related blog posts here.
Thursday March 23, 2017
New Theory PostsThere are now two substantial new posts up on Retail Backtest's new blog that are theory oriented. One is called "Regime Change vs. Computerized Portfolio Management" and the other is "Say What? You're Changing Your Hypothesis?".
Monday February 27, 2017
A Real Blog and Social Networking TooThe first post is up now at Retail Backtest's new blog. And there is a Sign-In menu item with which visitors can sign up for a free monthly newsletter— one that will be augmented with other notifications whenever position sizes in the portfolios have changed substantially, such as would happen if the market were to suddenly start rolling over. The next improvements will be internal and will amount to refactoring of the portfolio management code, for efficiency and to pave the way for further developments. In particular, the refactored code will more easily permit the development of a program to serve small accounts, one involving few ETFs and less trading.
Friday January 27, 2017
Still More Site ImprovementsThe Django apps on the www.retailbacktest.com site were made reusable and then were also made capable of working with multiple databases— one for each portfolio. The momentum/relative strength approach of the "Does Momentum Work" article on the site was implemented and applied to three portfolios. Finally RB's New Program was introduced. See it now on the home page of www.retailbacktest.com.
Tuesday November 08, 2016
More Site ImprovementsToday the www.retailbacktest.com site was upgraded. The changes are partly cosmetic but navigation is enhanced somewhat. And under the Special menu an "Abstracts of the RB Articles" item has been added. The abstracts enable users to focus in on topics of interest without having to browse the site. And on the abstracts page a side panel has some most interesting links concerning the prospects for benefiting from computerized portfolio management.
Sunday October 23, 2016
A Simple System That Works, for AllYou'll find the story online as of today at www.retailbacktest.com/backtest. The article "Chance or Discovery" is most important as it goes over in detail how it we can determine if a scheme to trade securities can be relied upon or not, and, it discloses a system that over the long term enhances returns, albeit mainly by avoiding debacles. I go into "hypothesis testing" in some detail, and refer at least briefly to academic research on the topic. You'll enjoy the tale of the hapless painting contractor who flunked logic. Don't let that be you. Read it!
Monday June 08, 2015
Do the Innate Costs of Trading Bore You?This isn't about commissions, fees, the bid-ask spread or slippage on order fills. Those are boring. No, generally speaking, if you're going to trade out of losing positions and get back in when things are looking better you're trying, in a crude way, to simulate a call option. Those things cost money to buy in excess of the amount by which the starting market price of the underlying security exceeds the chosen strike price. That excess, that's the cost of stop-loss trading. Read all about it at the freshly-minted article that was just uploaded to www.retailbacktest.com/trading. It's also accessible from the "Special" menu on that site, submenu item
A Profitable System "A Hidden Cost of Trading". And while you're there interact with real S&P500 data and see how the RB Placeholder System beats the odds.
Friday March 27, 2015
Refactoring CompleteWell, it never really ends, but a very substantial program has been carried out to improve the computational resources that support www.retailbacktest.com. The revised framework conforms, more than ever, to a functional programming style--- now featuring numpy and matplotlib (Python, of course). There has been a stripping away of complexity but the ease with which new trading systems can be prototyped has been greatly enhanced.
Sunday February 15, 2015
Wednesday December 10, 2014
Economic IndicatorsThe page www.retailbacktest.com/economy was added. It features "smart" indicators of the United States economy— a good check on the economic underpinnings of any bull market in stocks.
Saturday July 19, 2014
This PageThis is the new-era web page of MO'C Physics Applied. Launched today.
Saturday June 14, 2014
New Page... Continuing WorkAt this writing www.retailbacktest.com is started but is in a construction phase. Supporting that, work is proceeding on refactoring the Python code base for the quantitative analysis of stock and bond market trends. The new structure to the code takes a functional programming approach.