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In recent years, in the field of stock market and futures investment, it is more common to use program trading to place orders automatically. However, it is difficult to avoid curve-fitting when the program trading strategy is conducting back-testing owing to over using historical data.
In past research topics related to trading strategies, there is no complete verification process for the effectiveness and stability of trading strategies. In most of the related research, only discusses and focuses on the changes of the trading strategy parameters, the comparison of different trading strategies, the selection of different symbol, and so on. However, these analysis methods do not help the actual transaction. In fact, we must to use walk forward analysis to continuously evaluate strategic performance within the every period of window to avoid the problem of over optimize.
In order to solve the above problems, this research designs a complete strategy verification process and implements a platform based on this process. This platform can be used with common program trading platforms (e.g. Multicharts, Amibroker) to automate verification the effectiveness and stability of the strategy, and help investors find the suitable parameters before the actual order transaction.
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