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A comment on Using Reinforcement Learning in the Algorithmic Trading Problem. Parent comment

Re:Using Reinforcement Learning in the Algorithmic Trading P... by young_rutabaga on Wednesday April 29, 2020 @05:40PM (#23024704)
This paper is a hilarious dump of WQ's randomly generated formulas that (hopefully) happen to pass in-sample test.

  Alpha#33: rank((-1 * ((1 - (open / close))^1)))
This formula trivially reduces to

  rank(open/close - 1)
which is an example of a mean-reversion strategy. But: 1) nobody bothered to simplify this formula, 2) as any mean reversion, it is extremely difficult to trade.
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Re:Using Reinforcement Learning in the Algorithmic Trading P... by astrofinch on Wednesday April 29, 2020 @07:19PM (#23025744)
Why is mean reversion difficult to trade?
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Re:Using Reinforcement Learning in the Algorithmic Trading P... by young_rutabaga on Wednesday April 29, 2020 @08:22PM (#23026207)
High turnover, high costs. You flip your position too often
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Re:Using Reinforcement Learning in the Algorithmic Trading P... by stainforth on Wednesday April 29, 2020 @11:41PM (#23027193)
If the market flips against me, I just double my bet on the next play.
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Re:Using Reinforcement Learning in the Algorithmic Trading P... by dkersten on Thursday April 30, 2020 @03:24AM (#23028320)
the market can stay irrational longer than you can stay solvent

Martingale is a sure-fire way to lose all your money rather quickly.

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Re:Using Reinforcement Learning in the Algorithmic Trading P... by vecter on Thursday April 30, 2020 @12:18AM (#23027390)
That's a great way to go broke very quickly.
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Re:Using Reinforcement Learning in the Algorithmic Trading P... by anjc on Thursday April 30, 2020 @03:01AM (#23028195)
Only if you don't have infinite money on the side, in which case it's guaranteed to be profitable
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Re:Using Reinforcement Learning in the Algorithmic Trading P... by WJW on Thursday April 30, 2020 @09:16AM (#23030441)
You also need the other side of your trades to have infinite money. But in any case, why are you trading at all if you already have infinite money?
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Re:Using Reinforcement Learning in the Algorithmic Trading P... by rsecora on Thursday April 30, 2020 @03:45AM (#23028465)
Martingala with transaction costs are not profitable.
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