Advanced Analytics

Reading through this section: An hour or two including looking at the linked websites.
Setting yourself up for Advance Analytics: Days and weeks, perhaps months and years if you get into it in more depth.

Advanced analytics takes a lot more time and technical confidence than the average person cares to get involved in – which is where we are here help. It is well worth learning more if you are looking to gain an advanced trading edge. The end result will give you a valuable testing environment to rapidly improve strategies, and test third-party systems, within the relative safety of historical data backtesting – as opposed to paying to learn whilst trading live.

Strategy evolution and testing

You are trading real money, you have some good strategies with a long term edge, and you are managing your money well – but your market analysis takes time, and you want to fine tune your trading to find the best price-action signals for the markets you follow.

If you have been thorough in your analysis you will have scrolled back through your historical data, and then moved forward bar by bar to see how trading your strategy would have performed in the past – giving you a better idea of how to trade similar patterns and events in the future.

However, all this is very time consuming, there’s a lot of data and markets to analyse, and you started trading and investing your money to be time efficient in growing your savings.

Using a computer to do the heavy lifting

In this section, we move on to computer based analysis for our trading strategy development and optimisation. On these pages we show you the approach we take to strategy formation and backtesting using MetaTrader 4, so you can improve your understanding and take a similar approach.

  • Automated Trading – Also know as algorithmic trading, this is where we look at using and programming MetaTrader Expert Advisors (EAs) to open and close trades when certain criteria are met. This makes trading much more time-efficient, saves us watching charts, speeds up our response to new signals, and makes our money management very accurate based on our risk tolerances for each strategy.
    Here we show you where you can learn to code EAs in MQL, create them using Expert Advisor creation software or just find the good ones online to use or adapt.
  • Strategy Backtesting – Once you understand Expert Advisors and have created, found for free, or bought an EA you should test how it performs on historical price data before using it to trade real live money.
    This where use of the advanced MetaTrader features for backtesting and optimisation becomes really interesting. You can see how your EA would have performed with various settings over months and years, using the results to optimise how it should trade in future. However, using accurate historical price-data is very important to make this process thorough, which is why we have detailed our experiences and how to get the best possible data to test with.
  • Optimisation vs Curve Fitting – Here we look at important aspects of statistical analysis and strategy formation to help us avoid being deceived by unscrupulous systems vendors, and perhaps more surprisingly ourselves as system designers. Plus we look at Walk Forward testing, demo testing and live testing to analyse strategies in more statistically significant detail to measure how robust they are at adapting to changing and unprecedented market conditions.

Time to roll up your sleeves and get into the nitty-gritty details of how the enigmatic “Quants” trade. We will be outlining the same techniques and methods for designing strong technical trading systems and indicators – based on the rigour required for thorough scientific testing, and then challenge by our peers.