Quant investing: What is randomised signal length?
Randomised signal length is a technique used as part of the robustness testing of a trading strategy. The goal of randomised signal length is to test the robustness of a trading strategy by introducing random variations in the length of the trading signals. This technique can help to identify any potential weaknesses in a strategy that may be exposed when the length of the trading signals is varied.
To perform randomised signal length testing, a trader will first define a set of rules for generating trading signals. These rules may be based on technical indicators, price patterns, or other market data. Once the rules are defined, the trader will then randomly vary the length of the trading signals, for example by shortening or lengthening the time frame used for generating the signals.
The trader will then run simulations on historical market data, using the randomised signal length and the original signal length, and compare the results. By comparing the performance of the strategy with randomised signal length to the performance with the original signal length, the trader can identify any potential issues with the strategy that may be exposed when the length of the signals is varied.
Randomised signal length can be used in conjunction with other robustness testing techniques, such as noise and stress testing, to further improve the robustness of a trading strategy. By identifying potential weaknesses in a strategy, a trader can make adjustments to the strategy to improve its performance under a variety of market conditions.
In summary, Randomised signal length is a technique used as part of robustness testing of a trading strategy, which helps to identify any potential weaknesses in a strategy that may be exposed when the length of the trading signals is varied. This technique can be used in conjunction with other robustness testing techniques to further improve the robustness of a trading strategy.
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Hue Frame is the founder of Frame Funds Management. Frame Funds is a quantitative funds management company, that manages assets for institutional and wholesale clients, and proprietary funds.
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This information is prepared by Frame Funds Management Pty Ltd (ACN 608 862 442) (Frame Funds, we or us) is a Corporate Authorised Representative (CAR No. 123 9068) of Primary Securities Limited (ACN 089 812 812 635) and is intended only for "wholesale clients" within the meaning of sections 761G and 761GA of the Corporations Act 2001 (Cth). This material is not intended to constitute advertising or advice (including legal, tax or investment advice) of any kind. These materials are not to be distributed to any person who does not qualify as a wholesale client and must not be copied, reproduced, published, disclosed or passed to any other person at any time without the prior written consent of Frame Funds. Primary Securities Ltd (ACN 089 812 635 635, AFSL 224 107) is the Trustee of, and issuer of units in, the Frame Futures Fund and the Frame Long Short Australian Equity Fund (Funds). In deciding whether to acquire, or to continue to hold, units in the Fund please read the current Information Memorandum available from Frame Funds. Past performance of the Funds is not a reliable indicator of future performance. The value of an investment in the Funds may rise or fall. Returns are not guaranteed by any person. Total returns are calculated before tax and after ongoing management costs. In preparing this information, we have not considered your investment objectives, financial situation or personal circumstances and therefore the Funds may not be suitable for you. Neither Frame Funds, Primary Securities Ltd, nor any of their respective related parties, directors or employees, make any representation or warranty as to the accuracy, completeness, reasonableness or reliability of the information contained in this publication or accept liability or responsibility for any losses, whether direct, indirect or consequential, relating to, or arising from, the use or reliance on any part of this material. Any rates of return, forecasts or estimates contained in this publication are not guaranteed. The content of this publication is current as at the date of its publication and is subject to change at any time. It does not reflect any events or changes in circumstances occurring after the date of publication.
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Hue Frame is the founder of Frame Funds Management. Frame Funds is a quantitative funds management company, that manages assets for institutional and wholesale clients, and proprietary funds.
Expertise
Hue Frame is the founder of Frame Funds Management. Frame Funds is a quantitative funds management company, that manages assets for institutional and wholesale clients, and proprietary funds.
Expertise
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