This trading strategy is designed for the Quantiacs platform, which hosts competitions for trading algorithms. Detailed information about the competitions is available on the official Quantiacs website.
The strategy can be executed in an online environment using Jupiter or JupiterLab on the Quantiacs personal dashboard. To do this, clone the template in your personal account.
To run the strategy locally, you need to install the Quantiacs Toolbox.
The "Trading System Optimization" notebook presents a comprehensive guide to optimizing trading strategies through parameter analysis. It emphasizes the importance of examining the impact of various parameters on key statistical indicators, such as the Sharpe ratio, to mitigate the risk of backtest overfitting and ensure robust performance on live data.
A sample trading strategy is detailed, utilizing a single-pass implementation for rapid execution. The strategy involves going long based on the rate of change of a linear-weighted moving average over specified periods, demonstrating the process of parameter optimization for achieving the best possible Sharpe ratio.
Furthermore, the notebook guides through performing a parametric scan over pre-defined ranges of parameters using Quantiacs optimizer function. It showcases how to interpret the results of the scan, identify the best parameter set, and subsequently apply these parameters to the trading strategy for final evaluation.
The strategy's performance with the selected parameters is assessed, followed by a discussion on how to avoid forward-looking biases in the strategy development process. The notebook concludes with a complete code example of the optimized strategy and additional code snippets for checking forward-looking issues.
This notebook serves as both a practical tool for strategy optimization and a tutorial on best practices for developing and refining trading systems.