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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.

168 – How to optimize strategies for robustness (properly) – John Ehlers

DSP and Cycles expert John Ehlers, joins us to discuss all things optimization, including:

  • Why optimization is a statistical process and how to assess the results properly (including what to look for at “the 50% line”),
  • How much data you should REALLY use for reoptimization and why many traders use way too much data (and the impact it has on trading strategies),
  • The 3 best fitness functions to use in reoptimization and the dangers of a popular metric that can lead to over trading,
  • What the speed of optimization results can potentially tell you about strategy robustness,
  • The only 2 things that count when assessing a strategy (yup, just 2!),
  • Plus, much more.

Also, if you want to discover more of John’s Cycles and DSP techniques, John is running his annual workshop for the very last time this year (he’s retiring to go fishing and build model aeroplanes). The workshop is run over 4 evenings (US time – Oct 19-23) and it’s 100% online so no travel or quarantine required. For more info, visit: http://bettersystemtrader.com/jeworkshop2020 

Don’t forget to subscribe to the BST YouTube channel for all the latest updates and trading content:

Released: Oct 11th, 2020

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167 - Improve trading performanc...
169 – Will AI replace the huma...

Related Posts

  • 170 – How to detect a failing trading strategy – Kevin Davey
  • 152 – “Backtesting trading strategies does not work” – John Ehlers
  • 150 – Looking at markets from different angles – Rikard Nilsson
  • 105 – A dangerous optimization assumption
  • 097 – Optimization Myths with Jack Schwager

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