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Interesting blog post on moving averages

I found this article pretty interesting. I think this note on how to approach backtesting results is spot on. I personally have found myself susceptible to wishful thinking and confirmation bias, especially when potential profits are concerned.

I just want to emphasize at this point that the job of every serious trading system developer is not to try to find support for the result of a backtest but instead to try to discredit it. Unfortunately, exactly the opposite happens in most publications. For example, varying the moving averages and claiming that because the system remains profitable it is robust, is not enough.


http://www.priceactionlab.com/Blog/2015/07/asset-allocation-models/
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Wonderful read @Jonathan! I love the comparison with a completely randomized strategy. We all find ourselves susceptible to confirmation bias now and again, but it's important to perform due diligence and find the flaws in any strategy. Moving average strategies tend to perform well over the symbol/range that they were backtested on (overfitting), but typically fall very short of expectations when thrown into the wild (live) or run on a different symbol/range (maybe even same sector).

Thanks for sharing!
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Yeah. I feel like this might be obvious for a lot of the proper quants or financial engineers on here, but I'm a software engineer with a hacker mentality. My development process is:

Tweak and run -> Tweak and run -> Success! Deploy to production!

That mostly works in software, but it's a really bad idea for algo trading. ;)
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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