3 ms·
Henning, If you are going to go some computer optimisation please read Whites reality check, I applaud your effort but I think the trading strategy as described
by Choronzon 14y ago
Henning,
If you are going to go some computer optimisation please read Whites reality check, I applaud your effort but I think the trading strategy as described might be too simple unfortunately and historical optimisation can make anything profitable. In an ideal strategy edge would be present do to an extrapolation of platonistic assumptions and optimisation would further tune this rather than produce profits in itself.
Also AAPL is a lousy stock to simulate anything with apart from itself as its basically an complete outlier in terms of statistical factors(std deviation,exposure to news etc)
- cschmidt 14y agoWow, I've never seen anyone else who knew about White's reality check. Unfortunately, it is patented (US Patent 5,893,069). There's also a related thing called the test for Superior Predictive Ability (SPA), by Peter Reinhard Hansen, which is not patented (afaik). We liked it better for other reasons as well.
- Choronzon 14y agoI didn't know that it was patented,thanks for the info. There go my plans for githubbing a small pandas(python) based version of same. Ill also look into the SPA now. People also need to consider the kelly criterion,and abandoning Technical Analysis as "not even wrong". Signal Processing is TA for grownups but even then people have to bear in mind that the assumption of a linear system (a default assumption for signal processing) is generally incorrect as far as the market is concerned. In the strange position of having a potentially very viable trading model myself and no time or funds to trade with as yet.Potentially a better position than the converse however.