"Trading Strategies that are Designed, Not Fitted" by Robert Carver from QuantCon NYC 2017

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Published 2017-12-12

Engineers design stuff. Why do Quants prefer to fit? In this talk, Robert will explain what designing a trading system actually involves, explore why designing might be better than fitting, and introduce some of the tools you could use. He will also take you through the design process for an example trading strategy. Finally, he will discuss how we can have the best of both worlds: strategies that are well designed and also fitted to the data.

Link to slides: www.slideshare.net/secret/1XXl5iDp0MdW2l.

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All Comments (9)

@tedchou12 4 years ago

I am the first to comment on this wonderful presentation?
@mimmotronics 2 years ago

This is an interesting observation for the table at 39:30, when you consider the Nyquist Theorem used in signal processing/reconstruction. The theorem states that in order to reconstruct a given signal, you need to sample it at at least f_max/2 sampling rate, where f_max is the maximum frequency found in the signal. If you extrapolate that thought to trend following, in order to accurately identify a trend of N discrete bars, you need a window_size of at least N/2 bars. In practice, however, it is possible to reconstruct a signal at sampling rates that are below f_max/2, with some error. I presume that's why in your table you still obtain good/decent values at window_sizes that are less than N/2. Also, 47:00 you say there's a 0.05 loss in correlation between forecasts in real data vs. the fake data of 0.90. It may be possible to parameterize the sawtooth waves and additionally randomize that parameter set in order to introduce some variability in the correlation between forecasts. Just a thought...
@SkyRiderJavelin 3 years ago

Why is the audio so bad on quatopian youtube clips
@omparikh4426 3 years ago

at 12:30 , what does “risk is gaussian” means?
@roguesprinter 3 years ago

*its...
@chadyu1551 4 years ago

they are full of brown sticky stuff XD
@itslike123 2 years ago

Each market is different, you can't design one for all, I tried for 3 years doesn't work or perform poorly. Each market need to have its own, wether you call it overfittin but I'm profitable
@mr.kurazsnaj837 1 year ago

I'm reading your books, listening to podcasts and youtube where you participates. I guess you have someting to say...but I really do not get it...words, words and words...