Simulating Trading Strategies for Testing Skill vs Luck or Overfitting

2018-03-28T10:31:01Z (GMT) by Jasen Mackie
<div>Video recording of Jasen Mackie's presentation, entitled "Simulating Trading Strategies for Testing Skill vs Luck or Overfitting" presented at SatRday Cape Town, UCT, 17 March 2018</div><div><br></div><div>Abstract:</div><div>Simulating the P&L of quant trading strategies can shed light on the dynamics of a strategy, like confidence intervals of max drawdown, but simulating individual trade entries and exits can uncover more insights ultimately discerning skill vs luck or overfitting. Introducing txnsim() in blotter!</div>