Re: Market Model Thingy
CC,
I did a similar test, where I just had the program select random picks each day, and it showed the expected ~100% loss (expected after the ask/bid discount and fees)
I did have the concern that you raised, re: most picked stocks are babies, and the transaction fees are going to be killer. However, I looked through it, and the 25/50/75 percentiles were pretty reasonable (something like [11 16 24], but I cant remember exact details now).
If I were to rerun it, getting rid of all stocks < X, what is a good X?
Also, Ive used pinv since v early on, when my regular method produced a warning.
|