Tag Archives: cross-validation
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
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.
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