Abstract:
In stock market or other financial market systems, the
technical trading rules are used widely to generate buy
and sell alert signals. In each rule, there are many
parameters. The users often want to get the best signal
series from the in-sample sets, (Here, the best means they
can get the most profit, return or Sharpe Ratio, etc), but
the best one will not be the best in the out-of-sample sets.
Sometimes, it does not work any more. In this paper, the
authors set the parameters a sub-range value instead of a
single value. In the sub-range, every value will give a
better prediction in the out-of-sample sets. The improved
result is robust and has a better performance in
experience.
