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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 still expect around 100 of them to make money due to shear chance. Again, if your performance metric is significant beyond p<0.05, then you have slightly...

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 are using the same exit condition as I outlined above, and if any of your performance measures far exceed the 95 percentile of the shown distributions...

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 N-1 for training, and the remaining 1 for testing, and repeat N-times choosing a different group each time. This will not only give you an OOS estimate...

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 you to assign a p-value on your sharpe, win rate, r, pf, etc. (e.g., if you get a pf of 1.2, you should be very aware that it is very possible to get...

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 appear to work if one searches (aka optimizes) long enough. In fact around 10% of those systems made money despite being totally random entries. But...

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 day. So I will just reword the system as entering 2 to 3 times per day at random (rather than around 15), but same exit conditions. Basically the...

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 with high profit factors or total profits or sharpe ratios etc, just searching only 1000 random systems gave me pretty good results. Imagine what would...

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 remove the stop condition, it will be closer to 50% (i.e., just hold 15 minutes and exit regardless of price). Even with this skew, the "best" systems...

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 time is after 9:50 AM, then randomly go "short" or "long" at that time. Exit condition: either exit after N minutes holding time, or when a stop...

The consensus pendulum once again swings from "day trading possible" to "day trading not possible". There is no money in directional trading unless you are using "hidden but public" information. Stat arb is an old story, thoroughly exploited and averaged out to zero by now. All that's left is...

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 more noise. I guess the goal of PA is not to assign SR or pivot lines -- those are obvious either from the historical data or order book. The...

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 these ideas, and so far, I have found algorithms that work only in high volatility high ATR regimes. In a low ATR low volatility environment, the profit...

Most reputable journals require you to disclose potential conflicts of interest, such as being funded by an oil company when writing about lack of evidence of global warming. Yes people are not objective and they all advocate for their own ideas. However, when you attach financial interests...

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 unconscious skewing of objectivity due to competing interests. This is why every scientific publication must disclose the author's funding sources...