If I understand your systems correctly, I wouldn't call them parameter free. They are more like locally fit models I think. The potential pitfall...
I might add that a potential reason why such streaks last longer than one might expect is may be because of all the curve fitters out there?
Yes, that would be like mean reversion -- it is likely to work especially for insignificant systems but you just never know when that streak will end.
Or here is another approach: take a well worn strategy, then slightly improve one of it's aspects and hope you can extend the window of...
If that's the case, then the issue is not so much curve fitting (i.e., fitting to a pattern that is not really there), but rather is one of...
Yes, of course, but the eternal hope of all financial alchemists is that the perfect combination of slightly different tools may one day turn our...
two words: curve fitting -- if in fact all you can do is curve fit, then your sharpe ratio and profit factor and risk reward will be out of this...
Notice the very key word *almost* which keeps things perfectly legal. Okay, may be you are not directly selling them, but there are other ways to...
By the way, I believe what you are doing is the smartest thing to do with regards to trading: sell tools that *almost" promise a dream. There is...
Okay you revealed your motive for this thread. Nevertheless, I can see some things from the site that I can use, e.g., dominant period, high pass...
You mentioned statistics a number of times, but I believe what's more important than statistics is statistical significance. I think what...
I think there is a confusion here with the word "forward test". I believe what you are doing is training your system on a rolling window of data,...
Of course, this is the age old problem. You have to raise your target. But guess what, when you do that your win rate goes down. So you lower your...
okay, it sounds like you know what you are doing, but I am not fully convinced that a first order RC filter (aka EMA) is so much worse than a...
what is a "standard" low pass filter? what kind of response curve does it have? are you sure there are no windowing artifacts resulting in a sinc...
Right, all EMAs and SMAs are low pass filters as well.
yes a profitable strategy should be simple but more importantly it must not be obvious.
Okay, I didn't realize there was free lunch available.
Not all day traders are scalpers. Some of my best strategies make one or two trades per day, but always close out eod. Most (not all) of those are...
I am pretty sure every back tester has found lots of strategies (10s or 100s) that make money consistently without slippage and commission (myself...
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