Re: Market Model Thingy
eastbay,
nice post. I would say Im reasonably sure there wasnt any look forward/overlap. I was pretty paranoid about this, and even reran the results with coefficients that I thought had overlap to observe that the results obtained then were a ton better (they were). Also, it was just about impossible for overlap to occur on the second test (the second 7 year period), since the testing data needs to go through a semi-longish transformation that I never did on that data set (just trained using the more recent 7 years), and that showed moderately comparable results.
Evan and I talked about ask/bid spread, which appears to be the same as slippage, yes? I had no idea what this was until a few hours ago, and appears to be something that would be v imporant to incorporate. Assume that a stock has a listed closing price of X is there a reasonable function to get an estimate of the price I would be expected to sell at, assuming I sell at close? Im learning that it is slightly smaller than X, but Im wondering if its possible to estimate it quantitatively.
"If you've sure you're not doing any of the above, well, trade it by hand for awhile and see how it goes."
Just to note: Im more interested IF its possible to using past information to predict the future, not necessarily (at least here) with trading.
Also, just as a general comment to all: I dont really know how to explain it, but you often see people on the forums with little poker knowledge arging against the common beliefs, and you cant help but think that he just doesnt understand the game. Im well aware thats what Im doing here, Id like to stress that Im skeptical of the results myself. Given the debate over the EMH, its v odd that the model could predict the top 100 performers for the next day so well; it would stand to reason that if the model were accurate, that the EMH ought to be discared, yet it hasnt been. But, again, I just couldnt find the error. If anyone knows matlab well, Id be haappy to comment/clean up the code and have them audit it.
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