I did read it. I (think) I know your general methodology here. The problem is, you can't backtest it. If you can't backtest this - and this is a...
Who said +12 means long?? My signals are in cross sectional residual space - so +12 means it's richer than all the other names in the universe,...
Nah, I think it's +12. So long as we are just posting numbers with no context, I think my is better because it spans a larger signal space than...
GOOG +12
I'm sort of confused here... the large part of statistics is the study of forecasting [outcomes]... which is, of course, making predictions....
Both are outcomes; Both have a probability attached (in, this case, they add up to 100% but not necessarily equal). Maybe that's betting...
Also, what is this view of that the working class 'missed out'? How many men and women sitting in cubicles now earning 30-50k would have been in...
Not so sure seasonalities matter all that much for calculating daily betas in the context of a two assets since the degree of variation due to...
It's not the poor's money? Why *should* there be more wealth transfer from the rich to the poor?
"a Belgium-based academic told the U.S. futures regulator on Friday as part of a debate the agency held as it weighs new rules." Yeah, okay -...
(1) If you are using intraday beta, it's actually rather more complicated because of intraday seasonality. (2) Convenient doesn't equal to...
(1) Why can't you use intraday prices for beta calculations? (2) If you really want to use ATR (and I'm not sure whether this adds any value) as...
Isn't that basically beta in a two asset case? The residual of the two securities given beta squared is the tracking error of one security vs...
How do you mean?
Actually, some other guy did "So was American democraZY resposible for the death of 30% of ALL white southern white males in the 1860's?" I...
I don't really understand your point about the Civil War... Americans are indeed the combatant of the American Civil War. I'm not sure what your...
Now that you mention it, I do recall some guy in monocle and tail coat stepping out of his limo on Park Ave the other day, beat a homeless guy...
Pol Pot's come to mind in brutality. In absolute number: how about the Chinese (in the 50s/60s) and the Russians (in the 20s/30s).
What are you talking about? The Great Leap Forward was a government program... And I assume you are talking about the civil war? Why yes -...
Indeed you are right.... considering all algo programs are calibrated on historical data and have look-back windows, it's entirely unbelievable...
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