Comments on: Multiplex For Greater Profit

By: Aaron

Aaron — Mon, 01 Nov 2021 11:50:12 +0000

It seems to be an only long strategy. One can see the equity curve
of the results , but not the price chart to which the strategy was applied.
Will it work in a bearish trend as well ?

By: Jeff Swanson

Jeff Swanson — Mon, 25 Oct 2021 19:54:09 +0000

In reply to Paul Prattini. You're welcome and good luck with it.

By: Paul Prattini

Paul Prattini — Mon, 25 Oct 2021 15:03:46 +0000

In reply to Jeff Swanson. Thanks Jeff. Thanks Curtis. I am definitely going to test this idea. I like it!!

By: Jon

Jon — Mon, 25 Oct 2021 12:19:47 +0000

Correct me if I am wrong but it may be wrong to say the author is over optimizing. It is my understanding that the author is optimizing one time and then picking three different set of parameters that performed, not the best but good, and applying the signals to one strategy. Sometimes I’m sure the signals would agree with each other and sometimes the short would cancel out the long signal. This would be a way to diversify the signals of a simple system. I will test this theory out on my next strategy. Great article!

I have had a similar idea but not exactly. Basically in my optimization I have often thought the picking the best set of parameters for say the last 2 years is hardly likely to be the best moving forward so maybe picking an average stable winner in a field of winners would be a better strategy moving forward. Previously I had thought to still pick one set of Parameters but this multiplexing idea would allow a bit more diversity in your choice.

By: Roy

Roy — Mon, 25 Oct 2021 10:24:19 +0000

Great article were can get the source code to test it out . Many thanks

By: Simon

Simon — Sat, 01 Jul 2017 14:26:33 +0000

Reducing selection risk is a good idea, I agree. I just do not think what you did actually decreased that risk. I think you actually increased selection risk, by adding more variables and running excessive optimization. But who am I to say?

By: Curtis White

Curtis White — Fri, 30 Jun 2017 21:51:10 +0000

@Simon

Right, we are optimizing but instead of picking a single optimal value, we are picking multiple optimal values that work well together. A parameter is anything that can vary, right. So, if you pick any RSI length then you are introducing an arbitrary parameter. If you optimize, you are picking the single best parameter. Instead of picking the single best parameter, this method selects the Nth top parameters that combine well together. There is this hidden combination factor which makes it not quite like diversifying, and might be the best part, but the fact we are trading multiple parameters does reduce the selection risk.

By: Simon

Simon — Fri, 30 Jun 2017 20:46:48 +0000

Just to be clear, I realize you personally may not have an optimized the Strategy #1 (RSI(2)), but somewhere down the line that was optimized (hence the setting of 2, which is not standard with original RSI). Since it was optimized, I’d expect the average RSI system performance to be worse than the optimized Strategy #1 shown, hence my earlier comment. Sorry that I was not clear on this.

By: Simon

Simon — Fri, 30 Jun 2017 12:10:00 +0000

Thanks but whilst “the goal is to diversify across all the settings,” you certainly have not done that. You have not diversified, you have optimized. If you really diversified, I would expect your “average” system performance to be worse than your optimized System 1. Your approach has created something better than the already optimized System 1, and it is because you changed the system, and you are curve fitting and optimizing more.

So you have taken optimized results of System 1 and made them even more optimized with System 2. This is 180 degrees from what you wanted to do, which was to find the average performance of the RSI strategy.

By: Curtis White

Curtis White — Fri, 30 Jun 2017 03:13:12 +0000

@Simon Excellent point. I would point out I did verify the short results, as well and mentioned that but I did not post them.

I would also like to point out that the conjecture is defacto true. The objective is to obtain a “closer proximity” to the overall performance which would be an average of all parameter values. So, in that respect it is defacto true. Now, if your system relies on an “optimal parameter” setting then you wouldn’t be attempting to capture the “class” of system performance.

I should also point that if you could pick the true optimal that this method is likely to yield lower results because the goal is to diversify across all the settings. The idea is basically right in any given year if you took a basket of all trend following strategies and averaged them out that you’d probably come up with the typical result for traders following those sorts of strategies. There’d be some outliers who hit it real good and some who did really poorly. But, this is about capturing the “average” gain.

The word multiplex means to basically overload a signal. But, yep these are just ideas: keep questioning my work and thinking about it.