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Best statistic profile: an efficient parameter tuning algorithm for systematic trading methods

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  • Dang Minh Quan

Abstract

Selecting the right parameter's values for a systematic trading method is very important. Good parameter's values decide the trading performance of the method. In this paper, we propose an algorithm named best statistic profile to select parameter's values for systematic trading methods. The results of extensive experiments prove the efficiency and stability of the proposed mechanism.

Suggested Citation

  • Dang Minh Quan, 2016. "Best statistic profile: an efficient parameter tuning algorithm for systematic trading methods," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 6(4), pages 337-350.
    • Handle: RePEc:ids:ijcome:v:6:y:2016:i:4:p:337-350
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    Cited by:

    1. D. Th. Vezeris & C. J. Schinas & Th. S. Kyrgos & V. A. Bizergianidou & I. P. Karkanis, 2020. "Optimization of Backtesting Techniques in Automated High Frequency Trading Systems Using the d-Backtest PS Method," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 975-1054, December.

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