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Better System Trader

Better System Trader

Better System Trader is the podcast and blog dedicated to systematic traders, providing practical tips from trading experts around the world.

060 – Strategy Optimization with Robert Pardo

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Why is it that some traders can create trading strategies that perform well in real-time trading while other strategies fall apart?

How do some traders keep their trading strategies fresh and adaptive to market conditions while other strategies just stop working altogether?

Robert Pardo, president of Pardo Capital, author of the book ‘The Evaluation and Optimization of Trading Strategies’ and creator of the ‘Walk Forward Analysis’ approach, is here to chat about creating and optimizing strategies that are robust and continue to work in the future.

In our chat today, you will learn:

  • Common mistakes traders make that can cause strategies to fail in real-time trading
  • The dangers of traditional optimization techniques and how they can be reduced and even overcome
  • How to determine if a strategy really is robust, while keeping it fresh and adapting to market conditions
Traders frequently have expectations about trading systems that are a bit unrealistic – Bob Pardo

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Pardo & Company Consulting

Pardo & Company offers a full range of consulting services, covering all aspects of technical and quantitative analysis including, strategy creation, design, optimization and validation as well as all aspects of risk and portfolio management. Click here to learn more.

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Resources mentioned in this episode

  • Bob can be contacted on bob.pardo@pardocapital.com
  • Books mentioned in the show:

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Many traders have difficulty coming up with a back testing method they can have confidence in

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You can actually have one out-of- sample test work just by random chance

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Walk Forward Analysis keeps the strategy fresh and highly adaptive

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Transcript

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Episode Released:

16 October 2016

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  • 031 – Trend Following & Market Breadth – Greg Morris

Trackbacks

  1. Quantocracy's Daily Wrap for 10/16/2016 | Quantocracy says:
    October 17, 2016 at 3:15 pm

    […] Podcast: Strategy Optimization with Robert Pardo [Better System Trader] Why is it that some traders can create trading strategies that perform well in real-time trading while other strategies fall apart? How do some traders keep their trading strategies fresh and adaptive to market conditions while other strategies just stop working altogether? Robert Pardo, president of Pardo Capital, author of the book The Evaluation and Optimization of Trading Strategies and […]

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