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:
- Increasing and decreasing the volatility across a commodity or portfolio of commodities
- Cropping intraday bars from the beginning and end of your daily session
- Randomising the opens and closes of the daily or intraday session
- 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.
Video can be viewed here:
https://www.youtube.com/watch?v=AtfW3M-1sYw#action=share
Adminefrain
(Admin, CQG)
shared this idea
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Arthur
commented
In addition to the above, please see the videos containing other tutorials at the new site here: https://portaracqg.com/ and specifically the tutorials page here: https://portaracqg.com/futures-data-tutorials/