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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.

116 – Building entries without curvefitting

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You may have noticed over the past few weeks of ‘Thursday Trading Thoughts’ that we’ve been following a theme.

In episode 113 we heard about a test Kevin Davey calls the ‘Monkey test’, which can be used to measure the effectiveness of entries and exits.

Then in episode 114 we reviewed a technique that Dave Bergstrom shared to measure the decay of a trading edge so that we can determine when an edge has gone, and not overstay our welcome at the party.

In this weeks trading thought we’re going to discuss the process of combining edges, filters, conditions into a trading system.

A common practice when building trading strategies is to combine indicators or filters to see how that particular combination impacts performance.

However, this practice can be overused or abused, leading to curvefit strategies that don’t perform so well in live trading.

In today’s episode we’re going to hear one solution for this problem, from our guest Art Collins, who is going to tell us the process he uses to combine edges while reducing the risk of overfitting, so let’s hear from Art.

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    Episode Released:

    24 August 2017

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    Related Posts

    • 162 – Building effective entries and exits – Kevin Davey
    • 028 – How effective are indicators (really)? – David Aronson
    • 193 – “Innovation as a trading edge” – Dr Brett Steenbarger
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    • This made me smile

    Trackbacks

    1. Quantocracy's Daily Wrap for 08/25/2017 | Quantocracy says:
      August 26, 2017 at 3:18 pm

      […] Podcast: Building entries without curvefitting [Better System Trader] […]

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