I wrote down the pass mark before the test. Then I failed it.

A trend rule, two markets, one day of work, and three moments where my own checking was the thing that was broken. Code and data: trend_daily.py, strategy-graveyard. The setup The rule is the most boring one in the book. On daily bars, take the sign of the return over the last N bars, size the position so that each instrument contributes the same... Weiterlesen