Thursday, April 21, 2011

The Alligator is here.

I've been showcasing a new system which up until now has been known only as Part B of the ESGumbo strategy portfolio. It's now ready for publication and use under the name Alligator. This system has come together very well over the past couple months thanks to the help of my fellow developers, George and Kazume. I've shared the results with another fellow trader and here is what he had to say:

"Tom, I finished the work on the OOS testing for the Alligator strategy using the nemo toolset. Overall it looks indeed very robust! Honestly this has been the best test I have ever seen. The robustness is 101, a good strategy has 50+ and the best I have ever seen was 78." - Rob

OOS refers to Out of Sample testing, which is the gold standard for strategy evaluation.

This is easily the best strategy I've ever worked on and I'm very excited about it's prospects. Some of us have been trading it for the past few weeks and have not been disappointed, to say the least.

I''ll have more information up soon.

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