Re:Algorithmic Trading: The Play-at-Home Version
by kittenfluff on Monday August 10, 2015 @01:50PM
(#10036112)
> If you back test over the past 5 years then you are only testing your model against a huge bull market.
If your model is long as often as it is short (either cross-sectionally or in a time series sense) then this is less likely to be a problem.
A far bigger source of error for inexperienced researchers is incorrectly accounting (or not accounting at all) for trading costs, financing costs, roll costs, liquidity constraints, data delays, market impact etc.
If your model is long as often as it is short (either cross-sectionally or in a time series sense) then this is less likely to be a problem.
A far bigger source of error for inexperienced researchers is incorrectly accounting (or not accounting at all) for trading costs, financing costs, roll costs, liquidity constraints, data delays, market impact etc.