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...
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| المؤلف الرئيسي: | |
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| التنسيق: | text |
| اللغة: | English |
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Institutional Knowledge at Singapore Management University
2023
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| الوصول للمادة أونلاين: | 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 |
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| المؤسسة: | Singapore Management University |
| اللغة: | English |