It is with great privilege that we welcome Martyn Tinsley (DARWIN Manager @TradeSignalMachine to our team of Technical Content Creators at Darwinex!
Martyn brings decades worth of experience in Data Mining, Algorithmic Trading and Systems Architecture to the table, and was one of the first ever algorithmic traders to choose Darwinex back in 2014.
He has already embarked on creating informative tutorials for the Alphas among you
…and in this series, embarks on a journey to challenge the backtesting status quo that prevails among algorithmic traders.
He highlights the pitfalls of herd-mentality in algorithmic trading as regards backtesting and optimization, and prepares us for the journey ahead…
…in what will prove to not only be an extremely informative, but also very exciting series of tutorials that bring his countless years of experience to the table for everyone’s benefit.
Key motivations behind the first 4 tutorials below:
Traders often struggle to optimize their systems in order to find parameters with the most effective edge.
This often results in the systems losing money in practice, especially when traded on a live account.
The fact that sub-optimal parameter values can often perform better than the parameter values that are genuinely the best.
Without understanding this fully, traders are likely to continue choosing the wrong parameters to trade.
The key (and often surprising) take-away points from these first 4 videos are:
Parameter values that provide no edge at all often appear to perform in an optimization as if they do. Every trader needs to be very aware of this anomaly.
Parameter values with little or no edge can often produce far better results in an optimization than the parameters that offer the best edge, and the best chance of success in the long term. If you’re not careful, it will be these sub-optimal values that you choose to trade.
IMPORTANT NOTE: This is essential viewing particularly for algorithmic traders who undertake parameter optimizations in their trading systems.
In future episodes of the series, we will cover a best-practice process for back-testing and optimization that will allow traders to perform these in a far more robust way.
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Thank you and Happy Easter!