2. • Traditional approach
Parameter optimisation on train set
Validation on test set
This is what we can do now:
System Parameter Permutation
Supervised compound metric optimisation
Domain Regression
Step-Down Correlation Minimisation
Strategy Selection Automation
Walk-forward optimisation
13. • Picking a single parameter set may not
produce very good results
Selecting several of the best strategies increases
the probability of arriving closer to the
regression line
20. BRAC*- Build,Rebuild and Compare
Out-of-sample performance scales with the
mean of the PnL distribution of N
subsamples.
*Building Reliable Trading Systems - Keith
Fitschen