© Timothy Masters 2018
Timothy MastersTesting and Tuning Market Trading Systemshttps://doi.org/10.1007/978-1-4842-4173-8_2

2. Pre-optimization Issues

Timothy Masters1 
(1)
Ithaca, NY, USA
 

Assessing and Improving Stationarity

In essence, the stationarity of a time series (such as market price changes, indicators, or individual trade returns) refers to the degree to which its statistical properties remain constant over time. Statisticians may cringe at such a loose definition, but that captures the practical meaning of the term. When we use market history to create a (preferably) profitable trading system, we are implicitly counting on the historical patterns that produced backtesting profitability to remain in force for at least the near-term future. ...

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