I just checked EA Studio; the generator and backtester is running on their server. You are accessing their services through web browser; so you are ok with resources.

Systematic Portfolio Diversification - Data Mining Concept

C, Nice work; am going to try this studio. a word of caution; you may get kicked out of VPS if they discover you are doing backtesting. this is because it drains their main server CPU affecting other users. It is all written in the small prints

Systematic Portfolio Diversification - Data Mining Concept

hi Matt, Good questions you are raising; and the answer lies within them To make the matter simpler to understand; let's divide "system designers" onto two categories: 1. Category 1: system design based on some existing strategy fond on ...

Systematic Portfolio Diversification - Data Mining Concept

Hi Matt, regarding the risk of overfitting; it always exists in system design; however; parametless strategy has lesser risk of overfitting than optimization. we have to understand there is a difference between backtest optimization and parametless ...

Systematic Portfolio Diversification - Data Mining Concept

the window can be of any size. your choice. my personal choice is 2 years of data. it will boil down to the nature of your system. for swing trading; you would perhaps use 5 years or more. for very short term; 2 years or even 6 months is ok. Lets ...

Systematic Portfolio Diversification - Data Mining Concept

Perhaps that system is not considered parametless because it has already choosed S2 (why not S1, or S3), and exit on R2 (why not R1 or R3). Also the 3 bars; why 3 and not 4 or 5 or 6; or remove this rule alltogether. The idea behind parametless ...

Systematic Portfolio Diversification - Data Mining Concept

Another subject worth investing in is parametless system. it is in effect the same as walk forward optimization (wfo); but much more stable. I found WFO not stable over time. url url url

Systematic Portfolio Diversification - Data Mining Concept

C, the context is same what I indicated in few of answers earlier in this thread. the mean reversion is on intraday timeframes; mostly 5m to 1m and even ticks. the entry techniques are not really that special. they are publicly known by many (i.e. ...

Systematic Portfolio Diversification - Data Mining Concept

C, Let's not deviate from this thread's topic. My time frame of trading is intraday. I can apply my strategy to multi day; but I choose not to. There is higher success rate intraday than higher time frames (OP mentioned this few times earlier). I ...

Systematic Portfolio Diversification - Data Mining Concept

V, you are welcome. Let's not deviate from this thread's topic. Diversification can occur at various areas; such as: 1- divergent/convergent (aka trend following, mean reversion) 2- timeframe 3- strategy (or edge) 4- parameters within a strategy 5- ...

Systematic Portfolio Diversification - Data Mining Concept

The idea is to adjust the mean to the trend as you go; sooner or later it will catch up with the price I also use a variant of PSAR which does the same job as above; the longer the position age; the shorter the exit trigger gets. Holding period ...

Systematic Portfolio Diversification - Data Mining Concept

same here; running a portfolio of 80 strategies diversified in all aspects. all mean reverting though. i used to run momentum strats but gave up due to high death rate. all 100% systematic. I spend most of my time doing research, DIY work around the ...

Systematic Portfolio Diversification - Data Mining Concept

This might help in the process... video

Systematic Portfolio Diversification - Data Mining Concept

Wrong; in terms of returns in percentage terms; RenTech (short for Rennaissance Technologies); are much more superior. That is why their fees are double the standard fees. They charge 4/40% instead of the standard 2/20%. url

Systematic Portfolio Diversification - Data Mining Concept

How about Jim Simmons from Renaissance Capital; the hardcore quant who does not allow any trader to touch the buttons. All computers humping dumping trades in and out all day long. He is the most successful most profitable hedge fund in the history ...

Systematic Portfolio Diversification - Data Mining Concept

Good points. I have had my fair share of data mining, backtesting data mined systems, forward test them, walk forward test them, put them through Monte Carlo stress tests, etc. At the end of the day; automatically generated systems tends to fail ...

Systematic Portfolio Diversification - Data Mining Concept

or perhaps a share of alphaomega profit directly to my MT4 account with comments on transaction. video

Simple Mean Reversion

Most of FF users need the polished diamond

Simple Mean Reversion

I am afraid by the end of this experiment; Loozers would have blown his many accounts; and will serve this thread from his heart.

Systematic Portfolio Diversification - Data Mining Concept

Nah! he is pulling your legs unintentionally. discretionary trading is not that straight forward. when someone gives you rules that are traded discretionary; there are many *hidden* subjective rules that are not discussed; or the trader not even ...

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