June 11, 2019

The following was posted in a Quantopian forum where the discussion centered around clustering and the merit of multiple factors in multiple strategies.

The real question is: What has sustainable value in our “short-term” trade decision making?

June 11, 2019

The following was posted in a Quantopian forum where the discussion was dealing with the impact of clustering using multiple factors in multiple strategies.

Let's try to operate with 40 different strategies with 40 factors each and see what would be implied in such a portfolio. At stake would be 400M in capital, and a single strategy could be considered as either a source of portfolio alpha, a profit factor, a contributor to overall performance and be weighted accordingly.

May 26, 2019

The following was posted on a Quantopian forum where I sometimes participate.

We should separate the problem into two parts. One for selecting over historical data and one where the data is forthcoming (some future data). These two will turn out to be quite different problems. Simulating the future should be viewed as either a walk-forward or some form of paper trading. Both of which do not produce any money and therefore are just other forms of simulations. You could paper trade for years if you wanted to. But, in the end, you would still find yourself at the right edge of a price chart with an unknown future.

May 19, 2019

 

My previous to last post ended with a question: “has anyone here using the given strategy, with no change to the optimizer, found a way to reach the 50,000%, or 100,000%+ total return mark using the same initial capital, the same stocks, over the same 14-year time interval?”

I opted to make a new simulation based on the last reengineered version of that program (ver.: DX-08) using the same 14-year time interval with the same initial capital.