tag:blogger.com,1999:blog-35364652.post935569181129638409..comments2023-02-09T02:30:59.837-05:00Comments on Quantitative Trading: Parameterless trading modelsErnie Chanhttp://www.blogger.com/profile/02747099358519893177noreply@blogger.comBlogger6125tag:blogger.com,1999:blog-35364652.post-6118793949067212122017-08-30T09:32:56.882-04:002017-08-30T09:32:56.882-04:00Skan,
In some sense, every strategy is composed of...Skan,<br />In some sense, every strategy is composed of a bunch of functions, so the choice of those functions are certainly subject to overfitting. However, the choice of functions is more constrained than the choice of parameters, so it is less of a problem for choosing functions.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-47744964742804465612017-08-30T06:58:58.924-04:002017-08-30T06:58:58.924-04:00If the parameter is a function itself it doesn'...If the parameter is a function itself it doesn't mean it's not a parameter it just means it's a function. Changing that function will also change the results. You can also have overfitting problems.<br /><br />Many times I've seen people using fixed numbers instead of parameters and telling they have few parameters, but the truth is that they have hidden parameters (sometimes they didn't optimized them, sometimes they did before)skanhttps://www.blogger.com/profile/03631114761711061847noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-19505594779087417772011-08-09T13:17:56.211-04:002011-08-09T13:17:56.211-04:00Hi David,
I typically optimize the overall Sharpe ...Hi David,<br />I typically optimize the overall Sharpe ratio. I am not sure how you can optimize both gradient and linearity of the equity curve, and why you would want to do that. Is that some sort of smoothness criterion that you apply to the equity curve?<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-67543751934076667812011-08-09T11:56:26.647-04:002011-08-09T11:56:26.647-04:00Hi Ernie,
Re: your suggestion to take a mean of ...Hi Ernie, <br /><br />Re: your suggestion to take a mean of top performing parameters in an optimisation. <br /><br />I certainly see the logic in this approach and have a couple of questions: <br /><br />What function would you suggest for determining optimal fitness? My own research suggests that trade frequency is a relevant component (as its presumably associated with statistical significance) in addition to linearity and the gradient of an equity curve. <br /><br />Secondly, do you have any suggestions for selecting which variants to average? For example, taking the top 99th percentile. <br /><br />Any thoughts appreciated, <br /><br />DavidAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-33576733590774390652010-02-16T17:33:50.866-05:002010-02-16T17:33:50.866-05:00I see the point and the simplicity, in my own litt...I see the point and the simplicity, in my own little world I've come up with a nice set of strategies that only take one param and that is capital allocation when activating a strategy to a real account. the back testing builds metrics in terms of percentages that are universal. The dynamic or adaptive params can be adjusted on a session basis even intra session and allow for strategies to be dynamically traded that are currently performing well in the current market condition. Life goes on.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-32925899948480141622008-08-06T03:37:00.000-04:002008-08-06T03:37:00.000-04:00I think it is indeed impossible to create a "param...I think it is indeed impossible to create a "parameterless model". Even if you make them dynamic, still you always need some other parameters to govern the process of calculating the dynamic parameters. <BR/>Meanwhile a parameter models can perform really good, even the simple ones. Check some free trading models on my blog:<BR/>http://quantslibrary.blogspot.com/Anonymousnoreply@blogger.com