Category Archives: Performance Metrics

Trimmed performance estimators

Posted on October 25, 2013 by mathtrading

This is a quick follow-up on my previous post on Quantile normalization. Instead of removing just the top X quantile of returns/trades when optimizing a strategy’s parameters space, my recent approach has been to remove the top and bottom X quantiles, … Continue reading →

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Quantile normalization: a simple trick to reduce overfitting

Posted on December 16, 2012 by mathtrading

To understand whether a strategy is able to perform in the future, the first question to ask is probably whether our strategy really showed great performance in the historic back-test or all it was doing was just describing past data accurately. In … Continue reading →

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Sharpe Ratio alone is not enough – Part 2

Posted on June 17, 2012 by mathtrading

Continuing with the considerations about performance measures, I want to introduce the fitness function I am currently using as well as a simple trick to use it to avoid curve fitting. To use some actual figures as an example, here … Continue reading →

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Sharpe Ratio alone is not enough

Posted on June 6, 2012 by mathtrading

I want to suspend for now the series of posts regarding volatility (may go back to it some time in the future), and discuss an often overlooked but extremely important topic in developing a trading strategy that works outsample and … Continue reading →

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