Posts From David Bergstrom

David Bergstrom

My name is David Bergstrom, and I am the guy behind the Build Alpha software. I have spent many years trading but also researching, building, testing, and implementing market-making and trading strategies for a high frequency trading firm, a handful of CTAs, individual clients, registered money managers, and even aspiring individual traders. I am a self taught programmer who uses C++, C#, Python, Perl, Java and even TradeStation’s EasyLanguage. Most of my experience has led me to a series of repeatable processes to find, create, test, and implement trading ideas. Build Alpha is the ever growing aggregate of this process from start to finish.


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Trading Day Classifications and the Prospects for a Year-End Rally

Much is made regarding price action and day type classification. To keep things simple, let’s consider four possible day type classifications for this article. We can have: Inside range Outside range Up range Down range These are all pretty self-explanatory and are simply defined by comparing the current day’s (or…

Market Volatility And Opportunity Over The Years

I am often asked what is the best market to create intraday trading strategies. There are maybe literally one million factors – both market related and personal – to answer that question, but one way to try and attack this question is to look at the amount of money each…

S&P 500 Seasonality Turns Negative In Late September

As summer trading (hopefully) comes to an end we all might be in store for a bit more volatility and an increased likelihood for some downward pressure on the S&P 500 (NYSEARCA:SPY) in the coming days. Historically we are entering a negative time of the year dating back to the…

What Does “Edge” Look Like?

Everyone talks about edge and every successful trader I know has one (most have a few trading edges or more). However, what does “edge” actually look like? The quest for your first trading edge or simply adding one to your arsenal can be a much easier task if you understand…

Turnaround Tuesday: Wall Street Cliche Or Trading Edge?

What is Turnaround Tuesday? Is it a Wall Street cliché, media company selling headline, or verifiable trading edge? Maybe all of the above, depending on its usage. But it has also been a simple trading edge over at least the past 15 plus years or so. Below you will see…

System Traders: The Noise Test and Lying Backtests

Can you trust a backtest? Below is a simple strategy that uses intermarket signals from the Japanese Yen to trade US 30 Year Bond Futures. It only has 2 rules for entry. The strategy produces fairly stable in-sample returns especially for being so simple. The in sample period is from…

Combining Trading Rules To Smooth Performance

The market is “overbought” or “oversold” are common phrases you will hear across the finance space. However, it is actually extremely rare for these conditions to be true. Today, we’ll attempt to show how trading rules can provide a better picture of the market while enhancing trading performance. First, let’s…

Using Conditional Probabilities To Gain A Trading Edge

Much of trading can be broken down as conditional probabilities. And there’s a distinct benefit in understanding what is likely to happen if some condition (or set of conditions) is true or not. For example, is tomorrow more or less likely to close higher if we are above the 200 day moving average…

Tracking Sigma Scores Of Price Changes For Regime Shifts

Measuring price moves is the name of the game. However, measuring price moves given recent context can add additional benefits to your trading performance. At times, the market can get very quiet which can make a 1% price drop feel like a 10% price drop (think summer trading). At other…

3 Simple Ways To Reduce The Risk Of Curve-fitting

Curve-fitting is almost certain death for a trading or investment strategy. So, what is curve-fitting? Well, you know when you test a trading or investment hypothesis, fall in love with the historical results, and then the idea fails to generate similar (or even positive) returns once you decide to trade…