Posts tagged ‘optimization’
Do we really know what we think we know? White’s famous paper on his “Reality Check” procedure:
Very readable paper on MC resampling techniques. Classic MC techniques tend to generate smoother equity curves with shallower drawdowns than actual live results, as they “chop up” returns too finely, thereby reducing the impact of correlation during Black Swan events. The paper presents a simple method which attempts to preserve these correlations (click on title to view paper).
Well written e-book on various optimization strategies using bio-inspired/evolutionary techniques (click title).
A quick study on how to avoid every algo trader’s worst enemy (or at least one of them): the dreaded Data Mining Bias (click title for article).