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  • 3 years ago
003: Cesar Alvarez on trading ideas, backtesting, stops and market timing

003: Cesar Alvarez on trading ideas, backtesting, stops and market timing

In our chat with Cesar Alvarez we talk about trading ideas, key concepts and pitfalls of backtesting, the impact of stops on returns, market timing, over-optimisation, drawdown and using multiple strategies in a portfolio. Topics discussed:

Where to find trading ideas
Why you should test all of your ideas, even if you think they won't work
Pitfalls of backtesting you need to look out for
How to identify coding errors in backtesting
Some clues that indicate you may have over-optimised a strategy
Issues with splitting data into in-sample and out-of-sample portions
The impact of stops on returns
Handling a 50% overnight drop in a stock price
Finding your personal drawdown tolerance
How market timing can impact a strategy
Why you need multiple strategies in a portfolio

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