I'll start this off with a rather broad question: I am trying to simulate returns of a large number of assets within a portfolio of different classes - equity and fixed income in a first step, say 100 ...
Do you think Walk Forward Analysis is a good method to estimate the predictability or edge of a trading system? Are there similar methods to know (estimate) how much alpha can capture an algo (in the ...
I am currently doing a project involving Monte-Carlo method. I wonder if there is papers dealing with a "learning" refinement method to enhance the MC-convergence, example : Objective : estimate of ...