Stella SMA
Source: Notion | Last edited: 2023-10-31 | ID: 84a583e1-95d...
2023-06-23
Hi Terry,
Thanks for getting back to us in a short time, happy to answer the questions.
It’s been live since beginning of this year and has been out of sample post 2022 (we tuned parameters with periods before 2022), that being said, we take overfitting issue seriously when we are developing the strategy, including but not limiting to strictly limiting number of parameters in play (no artificial parameter that does not make fundamental sense to us from trading perspective), no overly-fine-tuning on parameters (e.g. we won’t change parameter from 2 to 2.2 because it would increase sharpe ratio by 1% in history), limiting iterations of strategy development (e.g. p-hacking problem).
I’ve attached the daily returns going back to 2020, let me know what you think.
Best,
Stella