Useful reference for trading system development:
According to Tharp Think, a trading system consists of several parts:
- beliefs behind the system,
- setup & entry rules,
- filters,
- risk definition (1R),
- exits,
- a position sizing strategy
Another useful input for robust system development not to curve fitting (bactest result oriented by excluding data, modify rule based on specific history), which will make backtest result different from realtime trading.
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