ETF Prophet

After months of researching and coding and much help from Jeff Pietsch, I have finally completed the basic Walk Forward Test!

Recently I had the opportunity to read the book “Modeling Trading System Performance” from Howard B. Bandy. The book is covering topics such as Monte Carlo Simulation, Position Sizing, Risk Management and Statistics. The tag line of the book: If you have been in the dark about moving from developing trading systems to the business [...]

I've had a lot of time to kill over the last few days thanks to busy travel schedule made even busier by the volcano. We were due to fly from Vancouver at 4 on Thursday via the cheapo Canadian Affair (Thomas Cook airlines). The website kept saying the flight was due to leave for Gatwick [...]

Fascinating interview with Harry Markopolis, the guy who exposed Madoff, but was never listened to. Hat tip Barry Ritholtz This line stood out for me: "The five commissioners of the S.E.C. are securities lawyers. Securities lawyers never understand finance. They don’t have the math background. If you can’t do math and if you can’t take [...]

I love this quote from Warren Buffet: "It's only when the tide goes out that you find out who's been swimming naked" For me it kind of sums up this whole financial crisis. From RBS to Greece, the common thread is of companies and governments engaging in a) high risk strategies for short term gain [...]

Just received my copy of Brett Steenbarger's Daily Trading Coach. Only flicked through it, but it looks like exactly what I need right now. Looking forward to getting stuck into it over Christmas.

I’m a few chapters into reading Malcolm Gladwell’s Blink. An entertaining read and Gladwell certainly knows how to spin a good yarn. But in keeping with the advice I’ve read so far in Blink, I thought I’d share some potential criticism based on my initial reaction The central tenet of the book is that we [...]