I am not so sure about this. Let's say you ran 1000 OOS tests while optimizing a parameter in your system. Out of those 1000, I think you can...
Of course, the flip side is this: if you are optimizing a new method that you think has predictive value of good entries versus bad, and if you...
Precisely because of this risk of wasting data, what I prefer to do is the N-fold cross-validation. Split your data set into N groups, then use...
google CUDA.
Yes that was the goal. It is the null hypothesis to compare against. I could also run the random exit scenario as well. But this alone may allow...
Or one could also use good old-fashioned sensitivity analysis to get the same idea.
That's an interesting perspective. I was originally trying to show that a system that should NOT work (totally random entries) can be made to...
Actually there was one small error in my sim: I wasn't sorting the random entry times correctly so it was on average only trading 2-3 trades per...
Here is the profit curve from the random run with the best sharpe ratio (2.85).
I could repeat this experiment with no stop (not sure when I will get to it). But the lesson is clear. If one automatically sought out systems...
Histogram of win rate Here mean win rate was not 50% -- it was 47.4%. I believe this is systematic and is due to the stop condition. If I...
Histogram of sharpe ratios The "best" systems achieved sharpe ratios > 2.0
Histogram of r = mean(win)/mean(loss)
Histogram of profit factor Note one can "achieve" a profit factor above 1.3 by chance.
I though I would post results from this simple experiment: pick 15 uniformly distributed random entry times between 9:30 and 3:45 PM. If the entry...
The consensus pendulum once again swings from "day trading possible" to "day trading not possible". There is no money in directional trading...
You may be right, it may contain the same information, one historical based, and one based on the current book. The question is which one contains...
These are good questions. I have to say I am not an expert on price action although I have spent over a year back and forward testing many of...
Most reputable journals require you to disclose potential conflicts of interest, such as being funded by an oil company when writing about lack of...
Like I said earlier, I personally have no issues with marketing (although this forum has rules against it). What I worry about is the conscious or...
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