Trading Strategies 

That Are Designed Not 

Fitted

Robert Carver

QuantCon 2017 / New York /  29

th

 April 2017

Legal boilerplate bit:

Nothing in this presentation constitutes investment advice, or 
an offer or solicitation to conduct investment business. The 
material here is solely for educational purposes.

Robert Carver is not currently regulated or authorised by the 
FCA, SEC, CFTC, or any other regulatory body to give 
investment advice, or indeed to do anything else.

Futures trading carries significant risks and is not suitable for 
all investors. Back tested and actual historic results are no 
guarantee of future performance. Use of the material in this 
presentation is entirely at your own risk.

My 27 year old self

How my 27 year old self thought 
systematic trading design should work...

Data

Magic box

Trading strategy

Algo + Parameters

Data first

Why is fitting bad….

"The elements of statistical learning" by Hastie et al fig 2.11

The three types of fitting...

Explicit

Implicit

Tacit

Tacit financial market knowledge

Theory

Common sense

Theory

Market folkore

Previous research

How do we design rather than fit?

Acknowledge and embrace tacit knowledge

Avoid implicit fitting

Do the minimum amount of explicit fitting, and do it 

right.

Start with ideas not data

How my ~43 year old self designs 
trading strategies...

Tactit knowledge

Design process

Trading strategy

Algo + Parameters

Ideas first

Real

Data

Fake data

How my ~43 year old self designs 
trading strategies...

Theory

Design process

Common sense

Market folkore

Previous research

Real

Data

Fake data