Simulating Trading Strategies for Testing Skill vs Luck or Overfitting
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posted on 2018-03-28, 10:31 authored by Jasen MackieVideo recording of Jasen Mackie's presentation, entitled "Simulating Trading Strategies for Testing Skill vs Luck or Overfitting" presented at SatRday Cape Town, UCT, 17 March 2018
Abstract:
Simulating the P&L of quant trading strategies can shed light on the dynamics of a strategy, like confidence intervals of max drawdown, but simulating individual trade entries and exits can uncover more insights ultimately discerning skill vs luck or overfitting. Introducing txnsim() in blotter!
