© Timothy Masters 2018
Timothy MastersTesting and Tuning Market Trading Systemshttps://doi.org/10.1007/978-1-4842-4173-8_6

6. Estimating Future Performance II: Trade Analysis

Timothy Masters1 
Ithaca, NY, USA

Handling Dynamic Trading Systems

In the prior chapter, we focused mainly on how to collect unbiased, true-to-life trades from systems that made a position decision on each bar and produced a measurable return on each bar. Many trading systems, especially those that are algorithmic rather than model-based, make a decision to open a position and hold this position until a closing rule fires at some indeterminate future time. During that holding period, adjustments to the system may even be made, such as moving a trailing stop. This complicates ...

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