Math/Stats theories sharing
- Thread starter j2ee
- Start date
Imo none of the above build better trading systems. Fitted systems give excellent MC results, Sharpe ratio punishes good performance and walk forward is just optimization. The best test is that your strategy must work across many instruments without modifications
http://www.elitetrader.com/vb/showthread.php?threadid=270205
http://www.elitetrader.com/vb/showthread.php?threadid=270205
I think there are two reasons that changing the parameters in a trading system make sense:
1. Fundamentally different markets like stock comparing to commodity would have very different. Then same parameters would have very different result even the trading system has some level of predictive power. One of the main different would be many commodities really affect a lot by the weather while stock market is not, then this reason would affect how a trading system should be made for a market.
2. A future with like 20000 point comparing to a stock like $5 dollars would definitely need different parameters to apply the same ratio of math to calculate, as long as you are using the price to calculate in your trading system. 1/20000 is very different from 1/5, then no way applying exactly the same formula. As least need to change the parameter base on ratio.
http://wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?page=Top25.htm
http://wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?page=Top25APR.htm
This will be one of the last times I post these links.
