Re: Market Model Thingy
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Go back 7 years and see that your results change radically.
Jimbo
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Hmm. Im not sure if there is some hidden meaning here (ie. referencing some market trend that Im unawre of), so Ill take if on face value.
I did the calculations for stocks with > 4050 trading days, analyzing days 4000->2000 (ie. roughly spanning 7.5 to 15 years ago).
Although it wasnt quite as successful, it still outperformed the market by quite a bit (geometric mean of 1.0026).
Also, it got 15.97 right, on average, for the top 100 picks of the day, which is better than the 10.3 you'd expect at random.
Also, the model was trained on the days 2000->1, meaning that in some cases the model was using training data 15 after the test day. Arguably, part of the difference could be the result of that.
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