Tag Archives: cross-validation

Strategies With High Win Rate And Lower Payoff Ratio

Maintaining a constant profit factor while lowering the payoff ratio requires a strategy with higher win rate. In general, high win rate strategies are more difficult to develop but when combined with lower payoff ratio usually perform better during times … Continue reading

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Deterministic Machine Design of Trading Systems With Strict Validation

A high win rate trading system for SPY was machined designed using a deterministic method and a simple predictor of price.Validation of in-sample results was performed on out-of-samples of SPY and of an anti-correlated security.

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Portfolio Backtest and Cross-validation of Machine Designed Trading Strategies

It is easy for trading system developers to be fooled by randomness especially when the underline process that is used for discovering the trading systems is in itself inherently random. Out-of-sample testing is not enough to guarantee statistical significance of any results obtained because … Continue reading

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