raylai-co-blog – Ray Lai - Anything about data

Why you should not trust the Buy-and-hold [%] in Backtesting.py

quant

trading

Position Sizing

In our previous articles, we have been backtesting strategies by buying or selling 1 unit of stock or 1 contract of futures, and we examine the return % as our first prelim…

N-day Breakout Strategy

quant

trading

Breakout Strategy is a simple but effective trend-following / swing trade strategy. The rule is simple, entry when the price moves above the high or low of the past N days.

Foundation of Trending Systems (2) - Bands and Channels

quant

trading

For Moving Averages Part (1), please visit here

Foundation of Trending Systems (1) - Moving Averages

quant

trading

Major Components for Trending Systems

Trading System Complete Guide (With Simple Breakout Example)

quant

trading

To be able to speed up the system evaluation in a robust manner, here is the template that will be used for develop trading strategy. This notebook will contain all the code…

Efficiency Ratio Update

quant

trading

One great learning from Perry Kaufman is to use the efficiency ratio to measure the noise of the market. Kaufman’s Efficiency Ratio was invented in the 1970s to measure how…

Market Profile Examination

quant

trading

The measurement of distribution of price is very important in price analysis, as it can tell us at what range the asset class is trading with certain confidence interval. We…

Quantitative Trading - Trading style and my needs

quant

trading

After 2 years of trading, I think I learnt the basics about the market. I start to get comfortable to trade with different asset classes - which I consider is something that…

Nofri’s Congestion Phase System (Sideways System)

quant

trading

Notes taken from Trading Systems and Methods, 5th edition, Chapter 4 (p.155)