1. Derek Ho 1

2. 1. 2. EntryExit()/ 3. (Curve Fitting)(Z-Score, SQN)/(In Sample, Out of Sample)(Walk Forward Analysis)(Re-Sampling) 4. ? 5. Q&A 2 3. 1. Derek Ho Blog IBMPreSale IBM & 3 4. 1. - 21 Black Jack(Hit)(Stand)2117()10,J,Q,K10A1114 5. 1. Black Jack() 8/18 (Hit) 5 6. 1. - Black Jack()16(Stand) 6 7. 1. - Black JackTraderEdge() 7 8. 1. - vs ( ) 8 9. 1. - (Back-testing)(Robustness)/(Portfolio) (Curve Fitting) 9 10. 1. 50% 30% 15% 5% 10 11. 1. 2. EntryExit()/ 3. (Curve Fitting)(Z-Score, SQN)/(In Sample, Out of Sample)(Walk Forward Analysis)(Re-Sampling) 4. ? 5. Q&A 11 12. 2. Entry()(Price Channel Breakout)2020 12 13. 2. Entry()(Bollinger Band, Envelop Band, KeltnerChannel) 13 14. 2. Entry() (Opening Range Breakout) 10:45 36,200 37,02014 15. 2. Entry()(Volatility Breakout)Dual Thrust(No.1 in FuturesTruth.com, 364%/year)KD, RSI(Random Entry) 15 16. 2. Exit() (Exit) (Exit) : (Cut the loss, and let the profit run) 16 17. 2. Exit()Initial Stop() 2~3ATR (1%) ()=>17 18. 2. Exit()Trailing Stop() ATR Percent Trailing () 18 19. 2. Exit()Profit Protection Stop() , ,, Profit Maximizing Stop() , Profit Target RSI70Fix Bar Exit 19 20. 2. () 1. or 2.,?(Martingale) or (Anti-Martingale)(Fix Dollar Amount of Equity)50(Margin Target)(Fixed Risk)2%(Volatility Fixed Risk)1% - (Portfolio Heat)25%20 21. 2. () (Never,Never,Never OverTrading) : 1.5 6 21 $11$187$1212 22. 2. / 1952 // /() (5min, 15min, 60min, ) ( vs 22 23. 1. 2. EntryExit()/ 3. (Curve Fitting)(Z-Score, SQN)/(In Sample, Out of Sample)(Walk Forward Analysis)(Re-Sampling) 4. ? 5. Q&A 23 24. 3. -Curve Fitting?Buy next bar at close - 2 *(minmove/pricescale) limit;SellShort next bar at close + 2 * (minmove/pricescale) limit;24 25. 3. -Curve Fitting Curve fitting, , , , ) () () 25 26. 3. ,, ,, , S&P500, , Nasdaq, Russell 2000 , (COMEX, CBOT), , , , , ,, ,,, , , 26 27. 3. (Time Frame)5min -> 4min or 6min15min -> 14min or 16min60min -> 50min, 55min or 65min, 70min27 28. 3. (Z-Score) Z-Score>0)Z-Score = (/)*Z-Score > 1.645 95%Z-Score > 2.33 99%Z-Score > 3.09 99.9% 28 29. 3. (SQN)SQN (System Quality Number)Van Tharp SQNRanking SQN = (/)*( 100) SQN 1.0 1.01 to 2.00 (1.7) 2.01 to 3.00 () 3.01 to 5.00 5.01 to 7.00 () 7.01 Z-Score SQNcurve fitting29 30. 3. (Sensitivity Analysis)30 31. 3. 31 32. 3. (In Sample, Out of Sample)(In Sample)(,Out of Sample) 32 33. 3. (Walk Forward Analysis)(rolling)(Walk Forward Analysis)33 34. 3. (Rolling Walk Forward) 2002 2004 20062008 TODAY34 35. 3. (Anchored Walk Forward) 2002 2004 20062008 TODAY35 36. 3. Walk Forward Efficiency??? 20072008 TODAY , : ?WFE = (OOS) / (IS) : $150$90WFE = $90 / $150 = 60%636 37. 3. Walk ForwardIn-Sample, Out of Sample? (Fitness)?NetProfit, Profit Factor, ROA,MDD In Sample RollingAnchoredWalk Forward? Walk ForwardWFE Out of Sample, 37 38. 3. Walk Forward StratOpt WFP (www.stratopt.com) walk forward410 Tradestation 2000i 38 39. 3. (Re- Sampling) Re-Sampling 39 40. 1. 2. EntryExit()/ 3. (Curve Fitting)(Z-Score, SQN)/(In Sample, Out of Sample)(Walk Forward Analysis)(Re-Sampling) 4. ? 5. Q&A 40 41. 4. Curve Fitting,(Back Adjusted) ,% 41 42. 4. (Trade EquityCurve) , , Bollinger Band, MDD/ 42 43. 4. (Real Time Profit & Loss)/(RealTime Account Equity)()&()()() 43 44. 4. / equity curve Performance Report 44 45. 4. , ,,, . 5, , ,, 45 46. 46