Impact of Outliers in Algorithmic Trading Strategies

Author: Marcello Chiuminatto

Python version: 3.10.4


In the context of FOREX trading, in the commitment for finding profitable trading strategies, you will find in books, articles, papers, web sites and maybe from your own inspiration, strategies that shows positive profits, based on cumulative profit over a period. Well, that is not enough unfortunately, because does not necessarily indicate consistency in the profits.

Would be profit average (expected profit) then be a good indicator of profits consistency? The answer is not straight forward: not necessarily. Why? and the answer to this question is the topic of this analysis: Outliers.

Outliers will distort the reading of cumulative profits and expected profits in such a way that a losing strategy, can look like a profitable one.

Hi, I’m Marcello Chiuminatto

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