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cs.CE2022★ 2 cited
Backtesting Trading Strategies with GAN To Avoid Overfitting
Ao Sun, Yuh-Dauh Lyuu
Many works have shown the overfitting hazard of selecting a trading strategy based only on good IS (in sample) performance. But most of them have merely shown such phenomena exist…
cs.CE2000
Optimal Buy-and-Hold Strategies for Financial Markets with Bounded Daily Returns
Gen-Huey Chen, Ming-Yang Kao, Yuh-Dauh Lyuu +1
In the context of investment analysis, we formulate an abstract online computing problem called a planning game and develop general tools for solving such a game. We then use the t…