Lately I have been working on a trading system based on Support Vector Machine (SVM) regression (and yes, if you wonder, there are a few posts planned to share the results). In this post however I want to share an interesting problem I had to deal with.
Few days ago, I started running simulations using my latest code over years of historic data. Everything seemed to work fine, and the results looked promising. Experience has thought me that there is nothing like too much testing when it comes to trading strategy simulations, in other words, when your money is on the line. So, I decided to run one more test, which I usually do – to confirm that simulations with the same parameters, produce the same indicator.