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Synopsis
All too often a Technician's first foray into being quantitative is performing a back
test. Statistically, this is one of the worst places to start a quantitative process. A
back test that is performed too early is based on many false assumptions and
compounds many errors into the process. The result is that the back test returns are
rarely repeatable in real life. In this presentation, Mathew will be explaining what
these errors are, how we can avoid them (regardless of what tools you use), and
reveal a new Monte Carlo method he developed which allows us to review a valid
p-score for our models no matter if they are long term trend following or short term
mean reversion strategies. Mathew will go on to explain how as Technicians there is
a process that we can follow to rigorously test quantitative ideas.
For any Analyst who wants to research new ideas, or be able to present ideas that
can stand up to rigorous quantitative scrutiny, this presentation will help you to see
that not only is a quantitative approach is achievable, but as Technical Analysts, we
are in the best position to drive advanced quantitative models.
Presenter
Mathew Verdouw, CMT, CFTe
Mathew Verdouw, CMT, CFTe, has been living and breathing Technical Analysis for
over 22 years. As a Computer Systems Engineer he wrote his own TA platform,
which has been used all over the world from private traders to major US firms. More
recently, Mathew has become the only person in the world to currently teach the
latest curriculum of all three levels of the CMT program. His broad exposure to
Technical Analysis and his engineering background has led to many new insights and
brand new ways to model analysis. Mathew is a staunch believer that there are still
many new discoveries to be made in the area of Technical Analysis and that
Technicians should be at the forefront of all quantitative development. "TA's best
days are ahead of us, not behind us".
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