UFC - Ultimate Fitting Championships (Evaluating and calibrating portfolio optimisation methods with random data)

As I said in my last post I'm currently in the process of a mega-sized research project on fitting . In the first post I examined the correct way to cluster combinations of trading rules and instruments. This next post is rather meatier, and is about evaluating and calibrating some portfolio optimisation techniques. We might call this 'meta optimisation', since we want to find the best way to do…