Re:Algorithmic Trading: The Play-at-Home Version
by CPLX on Monday August 10, 2015 @01:40PM
(#10036051)
> How do you back test it to know that it works.
You don't. You turn it on and see if it works. Which does have a certain degree of intellectual rigor to it.
> So if you are writing your own trading models you should start by answering the question of what's your alpha when compared to everyone else....
Well right, that's the core question isn't it. But clearly the allure of wanting to test ones own set of biases and insights for alpha is fairly understandable and appealing.
You don't. You turn it on and see if it works. Which does have a certain degree of intellectual rigor to it.
> So if you are writing your own trading models you should start by answering the question of what's your alpha when compared to everyone else....
Well right, that's the core question isn't it. But clearly the allure of wanting to test ones own set of biases and insights for alpha is fairly understandable and appealing.