Multi-Model
Posted: Mon Aug 27, 2012 7:33 pm
I was wondering what others think about parameter insensitive models. These are a set of trading systems that are exploiting the exact same type of anomaly but with varying parameter. For example, trading different versions of RSI2. The idea is to robustly extract profits from an anomaly while avoiding the downside of single parameter set selection. Any thoughts?
Here are a few charts I've put together, but this single experiment may not be very conclusive.
Model1 (rsi1): RSI(2) 50/50
Model2 (rsi2): RSI(2) Buy: <30 Short: >70
Model3 (rsi3): RSI(2) Buy: <30 Sell: >50 Short: >70 Cover: <50
Model4 (no.reb): equal weight but no rebalance
Model5 (reb): equal weight rebalance weekly
Here are a few charts I've put together, but this single experiment may not be very conclusive.
Model1 (rsi1): RSI(2) 50/50
Model2 (rsi2): RSI(2) Buy: <30 Short: >70
Model3 (rsi3): RSI(2) Buy: <30 Sell: >50 Short: >70 Cover: <50
Model4 (no.reb): equal weight but no rebalance
Model5 (reb): equal weight rebalance weekly