Recent content by BookTrader

What do you mean by number of observations of models? What is increased is the number of trades, e.g. the number of samples. It makes intuitive sense that more trades against the same model parameters means higher significance for model parameter estimation. So, no, what you are saying is not...

I quite disagree. Think of the bias-variance trade off of model estimation. With a model that has sufficient parameters to lend itself more to over than to under estimation, one would expect to have decent bias on the parameters but questionable variance. This variance should be reduced with an...

Hi Braincell, I think I disagree. What you are referring to is imo the objective function itself. What that should be, and whether Sharpe is superior to PnL, is a different question. And it would go on and on. For example, maybe Sharpe Ratio * Calmar Ratio might be superior to Sharpe Ratio...

Hi there, In optimizing parameters for any trading system, to my understanding, one always needs to optimize some (atomic) value. This could be e.g. NetPnL, Sharpe Ratio, Calmar Ratio, ... (you name it). My question is the following: In any optimization there is a danger of an excessive...