Designing and Validating a Systematic Foreign Exchange Strategy
Quantitative trading strategy creation is a unique intellectual undertaking that draws on human insight, proprietary data, and nearly all aspects of computer science.
The goal in this presentation is to take you on a creative journey from the seed of a trading idea to a live traded systematic strategy. Finding real value in systematic trading requires constant attention to detail to avoid the trap of overfitting. Forex is perhaps the deepest most liquid market on Earth, but it offers new challenges to the trader with equity experience.
This talk will carry you through our process in taking on this new market, from identifying relevant data, dealing with a 24 hour trading cycle, to algorithm testing and validation.
This talk, by Lucena Research, was given at the SF Bay Area Machine Learning meetup in May, 2016.