Seeking better Sharpe ratio via Bayesian optimization
Developing an excellent quantitative trading strategy to obtain a high Sharpe ratio requires optimizing several parameters at the same time. Example parameters include the window length of a moving average sequence, the choice of trading instruments, and the thresholds used to generate trading signa...
Saved in:
| Main Author: | |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2023
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/7472 https://ink.library.smu.edu.sg/context/lkcsb_research/article/8471/viewcontent/seeking_better_sharpe.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |