Impact of Outliers in Algorithmic Trading Strategies
Author: Marcello Chiuminatto
Python version: 3.10.4
Overview
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.
6 Comments
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I don’t think the title of your article matches the content lol. Just kidding, mainly because I had some doubts after reading the article.
Hello, thanks for the comment, you just can drop the questions here
Thank you for your sharing. I am worried that I lack creative ideas. It is your article that makes me full of hope. Thank you. But, I have a question, can you help me?
Thanks for your the comment. What is your question?
Your point of view caught my eye and was very interesting. Thanks. I have a question for you.
Sure thanks, what is your question?