Title: Best statistic profile: an efficient parameter tuning algorithm for systematic trading methods
Authors: Dang Minh Quan
Addresses: School of Information Technology for Economics, National Economics University, 207, Dai Co Viet Street, Hanoi, Vietnam
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.
Keywords: systematic trading; parameter value selection; parameter tuning; parameter values.
International Journal of Computational Economics and Econometrics, 2016 Vol.6 No.4, pp.337 - 350
Received: 03 Nov 2014
Accepted: 26 Aug 2015
Published online: 15 Sep 2016 *