Ensuring statistical significance when optimising intra-day systems

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01/03/2022 at 1:57 PM #184399 quote

borderlineJim
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Senior

If optimising over 200k bars: what amount of trades would be considered statistically significant?

How many trades are required to ensure robustness testing is effective?

Obviously a few hundred trades is not going a good indication of well a startegy performs in the future. When traditional WFA is taken into consideration, using 5 iterations for example ( IS and OOS), this means even less trades are utilised for extracting optimial parameter values. I’m struggling to find answers…

Are there any ways to increase statistical significance that experienced traders use ( for example, testing on different markets, adjusting parameter ranges to check for ‘sensitivity’ etc etc)

thanks

Jim

01/03/2022 at 3:25 PM #184414 quote

nonetheless
Participant

Master

this is worth a look if you haven’t seen it already:

Strategy Robustness Tester

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01/07/2022 at 2:11 PM #184838 quote

borderlineJim
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Senior

ahhh interesting!

May be just what I am looking for. Thank you Sir!!

01/07/2022 at 2:57 PM #184843 quote

nonetheless
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Master

this is the version that most people seem to use: #106992

then you need the excel template to analyse the results: #107211

be sure to read all the instructions as it’s a bit fussy, but worth it once you understand how it works and what it’s doing.

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Ensuring statistical significance when optimising intra-day systems

ProOrder: Automated Strategies & Backtesting

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borderlineJim @borderlinejim Participant

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This topic contains 3 replies,
has 2 voices, and was last updated by nonetheless
4 years, 1 month ago.

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Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	01/03/2022
Status:	Active
Attachments:	No files

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