The Out-Of-Sample Simulation result for S&P 500 E-mini future contracts

Average holding period: 6 trading days

S&P 500 Out-Of-Sample Simulation results Long-Only Strategey

Model Calibration plays a vital role to form workable trading strategies in reality

Here is video telling the basic idea how to select the model

Option traders use (very) sophisticated heuristics, never the Black–Scholes–Merton formula

Option traders use (very) sophisticated heuristics, never the Black–Scholes–Merton formula

http://talus.maths.usyd.edu.au/u/UG/SM/MATH3075/r/Haug_Taleb_2011.pdf

Inaccuracy of Black-Scholes – Fischer Black and others agreed that the model is flawed

Finally, they agreed the model is flawed. I remember that I had an interview with a European Bank 3 years ago. The interviewer talked B-S model with me. He asked me whether believed B-S model or not. I told him that B-S model is far far away from the real markets and I didn't think that B-S model was right......  Finally, I was rejected after the interview. What a joke.

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Execution Rules of these trading systems

The executions are based on the signals forecasted on the previous trading day. Meanwhile the systems' parameters are daily self-adapted. Additionally, the slippages set for the simulations are much larger than real market slippages.