Simulating Trading Strategies for Testing Skill vs Luck or Overfitting

2018-03-28T10:31:01Z (GMT) by Jasen Mackie
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

Abstract:
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!