Tag Archives: curve-fitting
Can curve-fitting be avoided and how? Here are some thoughts because this is a very important issue in trading algo development.
The subject of optimization and curve-fitting has received a lot of attention by trading system developers, especially during the last 10 years. There is a lot of confusion about this subject and different views, some even conflicting.
In this post I introduce the general form of the Backtesting Robustness Index (BRI) I have developed and I give an example of its application to price patterns. This robustness index provides just another way of dealing with the notorious problems … Continue reading
Trend-following is a very popular trading method employed by funds, longer-term investors and even mechanical and discretionary traders. This method of trading is compatible with common sense and its success has been verified in practice by multi-year performance records showing exceptional … Continue reading
The idea that systems developed on historical data of a portfolio of securities have better chance of being non-random as compared to systems that are developed for a single security is based on the assumption that the size of the rule set used in the data-mining … Continue reading
There are software programs that allow combining technical indicators with exit conditions for the purpose of designing trading strategies that fulfill desired performance criteria and risk/reward objectives. Due to data-mining bias it is very difficult to differentiate the random strategies from those that … Continue reading