This is one of the more common reasons to hedge - extract alpha and reduce volatility. In any case this is why we do it. IF the strategy has...
We use 20% as the limit when to abandon a strategy. Since we size using LSP (Ralph Vince's method) we actually use 10% risk of hitting 20%...
One obvious reason why this question is asked is simply that it is trivial to create an optimized trading system with spectacular back-test...
The problem is not constrained to evolutionary algorithms (and generally there is no requirement on the fitness function being a monotone...
OK, then we're in agreement :)
Totally with you on this one. No matter how you come up with a system with a perceived edge it can be by chance. Many seem to think that just...
Totally agree, except for the part on neural networks. We use them extensively for classification and they work fine (even better than SVM in our...
We have found that using VWAP (or TWAP) when creating systems helps us remove some of the tendencies to overfitting to data. The argument behind...
Yes, you should always consider how transaction costs affect the overall result. But, the total impact will depend on your rebalancing interval....
Good advice all of them. What to do depends on how much work you want to put into this. Regarding sampling errors you may try to use a longer...
No good answers on this one Iâm afraid. This is obviously just speculation but maybe it could have to do that different strategies run by the...
Agreed, definitely. We've been told by a (successful) hedge fund manager that what we do will not work because it is data...
For our oldest running stock trading system, a long only mean reversion system thatâs been running from 2006 and forward, we have a hit-rate of...
We don't trade volatility (yet) but for our stock trading systems we have seen small negative skew (but this is actually varying over time -...
OK, I can understand that in some cases you could argue that selection is allowed using out-of-sample trades, but I would require a lot more...
Actually I agree with this, but it does not give much help in creating a systematic stop-loss rule. For example news works both ways, i.e. you...
I'm with MGJ here. Maybe itâs my cautious nature but I would be very careful using result from out-of-sample tests result to select patterns to...
We have also seen this for mean reversion systems. We have tested a large number of stop-loss schemes and failed to find one that improves...
Most of the times these question seems to be asked in order to find out if there exist a tool that gives you the holy grail trading system. So far...
Mike, I think it is possible but there are some things to keep in mind. Even if you change the information in the joint prob tables LSP will, in...
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