Portara - Robustness Testing & Strategy Optimisation Using Data

Traders often try to use their backtester — personal code or software application — to create ways in which to test system models for robustness. However, perhaps there is a much easier solution? Perhaps manipulating the data itself, rather than the code, is a far easier way in which to draw result comparisons. In this simple video you will see the creation of alternative data sets based on:

1. Increasing and decreasing the volatility across a commodity or portfolio of commodities
2. Cropping intraday bars from the beginning and end of your daily session
3. Randomising the opens and closes of the daily or intraday session
4. Horizontal and vertical mirror imaging sets

Why do this? Well, if you want to know, from a risk profile, whether your systems hold up when volatility explodes, you may find answers that surprise you. Say you want to consider whether the the open you follow in a 24h market, is statistically significant to your test results or not? If you are trading a volatility off open momentum model, then this is the type of robustness test you may wish to consider. Say if a trending portfolio suddenly alters its regime?

Data is king of kings — treat it that way.

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