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Home > Better System Trader > 185: How to avoid creating trading strategies that degrade quickly - Timothy Masters
Podcast: Better System Trader
Episode:

185: How to avoid creating trading strategies that degrade quickly - Timothy Masters
Category: Business
Duration: 01:16:17
Publish Date: 2021-04-12 04:35:49
Description:

Numerical Computing specialist and author Timothy Masters joins us (in his only ever interview) to discuss trading strategy development and validation techniques, including:

  • Why trading strategies fall apart in live trading,
  • How luck impacts trading strategy results and the impact of selecting the 'best' trading system,
  • Why trades in an out of sample dataset are NOT representative of future trades,
  • 3 ways to use Monte Carlo Permutation tests in trading strategy development to avoid overfitting, evaluate strategy robustness and assess the quality of your strategy development process,
  • The danger of using out of sample trades to compute the probability of drawdowns,
  • Entropy and information of indicators and why it's important to strategy development,
  • How stationarity really impacts trading strategies and what strategy developers can do about it,
  • Using Walk Forward to determine how robust a strategy is in the market,
  • Incomplete Beta Distribution to track strategy deterioration,
  • Bootstrapping, granular Profit Factor, the predictive ability of technical indicators, counter-trend trading and much more.
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