035 - Bob Pardo Part II - Building Trading Strategies that Work with Walk Forward Analysis скачать в хорошем качестве

035 - Bob Pardo Part II - Building Trading Strategies that Work with Walk Forward Analysis

Part 1:    • 034 - Bob Pardo Part I - Intra-Day, High-O...   Many trading strategies are developed using extensive historical data to calibrate model parameters. However, this process often leads to over-optimization, where the strategy is too finely tuned to past market conditions. Two things stand out: Noise vs. Signal: Financial markets inherently contain a high degree of randomness. A model that fits historical data exceptionally well may simply be capturing random fluctuations rather than a persistent trading edge. Regime Shifts: Markets change over time. A strategy that works during a bull market might not perform in a bear market or during periods of high volatility. Enter Walk-Forward Analysis. It's also not easy, but if done right can create an incredible method to solve for over-fitting in a systematic manner, leading to: Realistic Performance Metrics: By testing on entirely out-of-sample data (not just one out of sample period), traders can obtain performance metrics that are closer to what would be experienced in real-world trading. Adaptive Strategies: Walk forward analysis inherently forces a re-optimization process. This means the model is continually updated to reflect more recent market conditions, thereby reducing the risk that it’s built solely on outdated historical data. Robust Parameter Selection: Instead of selecting a single “optimal” parameter set that may be an outlier, traders can identify a plateau of robust parameters that perform consistently across multiple windows. This approach minimizes the risk of curve fitting, ensuring the strategy’s parameters are not overly sensitive to one specific dataset. #algotrading #walkforward #futurestrading #quanttrading www.thealgorithmicadvantage.com Contents: 0:00:00 What Is Walk Forward Analysis? 0:06:00 Markets / Strategies Best for WFA? 0:12:00 Why Use Multiple Walk Forwards? 0:18:00 How Accurate Are the Stats? 0:24:00 What Are Its Pros & Cons? 0:30:00 Which Markets Suit Walk Forward? 0:36:00 Art vs. Science in Strategy? 0:42:00 Is It a Two-Part Process? 0:48:00 How Do You Assess Robustness? 0:54:00 What About Objective Functions? 1:00:00 Manual vs. Automated Selection? 1:04:00 Can Ensembles Improve Results? 1:08:00 How to Build a Diversified Portfolio? 1:08:52 Ranger and Other Offerings from Bob Pardo