Line Your Own Pockets How to Grow Your Column Library
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Feb 16, 2026 They compare a column library to a shared software library and explain how reusable columns scale systematic trading. They introduce MACDV, normalizing MACD by ATR to make indicators comparable across securities. They cover intra-trade columns that let you test many exit ideas in one backtest. They stress using continuous, normalized columns to find hidden flaws and avoid overfitting.
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Normalize Gaps And Distances Using ATR
- When a metric seems normalized, still consider ATR normalization.
- Dave May shows percent gap looks normalized, but dividing gap by ATR gives a truer cross-symbol comparison.
Use Indicators As Testable Price Approximations
- Don't dismiss indicators because they're lagging; use them as approximations of price action.
- Michael argues indicators compress price patterns into testable numeric rules like 'above a moving average'.
Add New Columns To All Past Strategies
- When you add a new column, rerun past strategies and add it everywhere.
- Michael will replace current mean-reversion indicators with MACDV across his strategies to see if it resurfaces as predictive.