Reddit mentions of The Evaluation and Optimization of Trading Strategies

"...how did you get started programming and back/forwardtesting?"

All of the programming and WFO (Walk Forward Optimization) is self-taught. I simply started with the programming interface of TradeStation, EasyLanguage, and pulled apart existing simple indicators trying to understand the basics. Kept playing with simple indicators, adding more sections and conditions, increasing the complexity. (...And to be clear, I have no affiliation with TradeStation and am not trying to promote them over someone else, simply relaying the path I took. On my site you'll see that I used many, many different platforms throughout the years and why I settled on TS.) Also then did more research on the data available from the exchanges and what it means. This is very vague to the general public IMHO and understanding the data a bit better allowed me to try to display this data in a different way that "clicked" with my brain that I could recognize when something unique was happening. Might have been a dot on a chart, a colored bar, a graph plot, histogram, whatever. I simply continued to poke, prod and play with the programming and learned how it works. Once I started to see patterns emerge that I could try to create setups from I actually created an outline of trade parameters and a plan to follow. Following this plan, or "discretionary" trading worked for me but it is intensive and keeps me focused on the chart every second. I started researching WFO theory and how it works from TradeStation and again, followed the same process of self discovery and kept honing things until I learned the process. An outline of the WFO process itself from Tradestation is outlined here: https://www.youtube.com/watch?v=XWx35mfLlDs . This WFO simply helps me refine my plan objectively. If you want to know the guts of the process itself, it is my understanding that Tradestation modeled the WFO and Genetic optimizer on a book "Evaluation and Optimization of Trading Strategies" by Robert Pardo which you can find here: https://www.amazon.com/Evaluation-Optimization-Trading-Strategies/dp/0470128011
. This type of process is not conducive for many people, I understand those that want to "learn" this from someone else teaching it as this is the way the world works for many. If you're looking for a book or manual to follow, I tried and was never able to find anything that seemed comprehensive. I was able to take bits and pieces from many places and apply them in a way that I think is unique and "clicks". I'd like to think I'm more open minded than to psychologically require that any solution is my own and not from someone else, but we are humans after all. In full disclosure, I do have multiple engineering degrees and come from an engineering background so it is in my nature to deconstruct things and reconstruct them to learn for myself. It works for me, even though it is possibly the hard way. I have heard from other traders that I am a terrible student because I think too much, but it is not personal, engineers make crappy traders. I probably made this harder on myself because it is in my nature apparently as an engineering "type". You need to approach things the way that work for you and truly understand them, not try to emulate something you've seen. If the process or result doesn't "click" for you, you'll never really accelerate as the depth won't be there when you need it... If you are truly committed and want nothing more than to trade it IS possible, but be honest with yourself that you will need to put in the time, and by this I mean years, not weeks or months, and plan to spend at least $30K in "education" along the way. I realize that most people don't want to hear this and will probably down vote this post because of what I'm about to say, but... in my experience most "would be" traders are lazy. Not saying this to be mean but I've been doing this a while and some people get mad that I don't simply say "wait for the moving average to cross the %R line and buy, opposite that for down moves. Do this and you'll be a millionaire in 6 weeks." Nobody wants to hear it takes a lot of time and a truckload of money to do this profession, but this has been my experience. A doctor doesn't read someones post and run into an operating room that afternoon to remove someone's appendix. It takes years of learning, practice, mistakes and successes as well as $100K in education for them to get there, trading is the same. Anything worth doing for a profession that has the possibility of paying more than average isn't quick, easy or cheap and requires dedication. Trading is no exception. If it were that easy everyone would do it, right? Once you put in the time and effort you will be able to kick the markets ass. Be aware, sometimes the market kicks you back, but that's okay, it's all in a days work. As long as you can come out on top more that the bottom it's all good! Again, if you have any specific or general questions just contact me and I'll help if I can.

Hope this helps, Joe