Using Fake data to fit our strategies
Using Fake data to fit our strategies,
more in-depth info here:
By Robert Carver
Robert Carver Describes this:
If we take the real data we have and manipulate this way:
Taking the whole data's Highest and Lowest point and we will get the BETA point of the Y Axis,
Taking the whole data's Highest and Lowest point and we will get the BETA point of the Y Axis,
then we will just play with Y Axis around the Original BETA point and we can verify that it wont correlate with our real data that much, this way we can achieve better results out-of-sample.
Example:
EURUSD data,
Highest price = 1.54321
Divided by
Lowest price = 1.12345
BETA = 1.0126
We take that BETA number and Add/Reduce it by X% this way we can manipulate our data in terms of Height of its Y Axis by %,
It can be done as a MonteCarlo test, but thing is that we need to build our strategies on this data and not build and verify...., But this would be great to have as a MonteCarlo test also
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Votes +5
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Project StrategyQuant X
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Type Feature
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Status New
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Priority Normal
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