Melbourne Quant Traders SIG Monthly Meeting
Monday 26th of August 2024
Online ONLY 7.00pm (AEST)
Join our ATAA meetings to improve your understanding of
how to invest or trade successfully in the financial markets,
focusing on the correct use and application of Technical Analysis
Session Highlights: How can we avoid data mining and overfitting in strategy development?
Agenda:
7.00 pm to 7.30 pm - Speaker presentation (
online)
7.30 pm to 8.30 pm - Discussion and Q&A session
Presentation: "Know Your System! - Turning Data Mining from Bias to Benefit through System Parameter Permutation" - 2014 Wagner Award Paper by Dave Walton
Speaker: Graham Walker, ATAA Member
Graham will present his investigation of Dave Walton's 2014 Wagner Award Paper winner, "Know Your System! - Turning Data Mining from Bias to Benefit through System Parameter Permutation". In this paper, Dave Walton argues for a change in the way strategy optimization is usually conducted, and presents an alternative way to analyse optimization results to avoid data mining and over-fitting.
The purpose of this meeting is to generate discussion on one of the most serious issues facing strategy developers. Graham will present his take on Dave Walton's approach.
The purpose of Graham's presentation is to present the techniques advocated by the author and to demonstrate their application using a model trading system.
The paper also attempts to assist the trader in answering two questions:
1) What is a reasonable performance estimate of the long-run edge of the trading system?
2) What worst-case contingencies must be tolerated in short-run performance in order to achieve the long-run expectation?
It is expected that most of this meeting will be devoted to discussion around this general topic, after Graham's presentation.
This is a ONLINE ONLY meeting
The ATAA is the knowledge network for successfully using technical analysis
in financial market trading and investing.
Future Meetings: Generally, the fourth Monday of each month.