Thursday, February 11, 2016

Proof that no trading system always wins

mathematics - Proof that no trading system always wins - Quantitative Finance Stack Exchange: "This doesn't really suffice as an existence proof, but you can start with a series of mathematical results collectively known as no free lunch theorems. The linked paper proves the average performance of any optimization algorithm over arbitrary problem domains is independent of the algorithm. That is, no single algorithm can ever be better than others on any problem, meaning optimal performance over any single problem domain requires some level of domain knowledge, and knowledge has to be learned. Learning requires inference."

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