Abstract
In essence, the stationarity of a time series (such as market price changes, indicators, or individual trade returns) refers to the degree to which its statistical properties remain constant over time. Statisticians may cringe at such a loose definition, but that captures the practical meaning of the term. When we use market history to create a (preferably) profitable trading system, we are implicitly counting on the historical patterns that produced backtesting profitability to remain in force for at least the near-term future. If we are not willing to make that assumption, we might as well give up trading system design.
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© 2018 Timothy Masters
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Masters, T. (2018). Pre-optimization Issues. In: Testing and Tuning Market Trading Systems. Apress, Berkeley, CA. https://doi.org/10.1007/978-1-4842-4173-8_2
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DOI: https://doi.org/10.1007/978-1-4842-4173-8_2
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Publisher Name: Apress, Berkeley, CA
Print ISBN: 978-1-4842-4172-1
Online ISBN: 978-1-4842-4173-8
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