[anonymous]5y2

Is this the evident interpretation of Quantpedia's visual statistical summary of data on published quantitative trading strategies : Simple strategy, daily, stock strategy based on trading earnings or earning announcement generally outperforms alternatives?

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Seems more or less like it. But I'd be really careful.

First of all, one minor correction. According to their graphs, "very complex" strategies have alleged performance even better than "simple" ones. I would be skeptical, though; the more complex a strategy, the greater the opportunities for its apparent performance to be the result of (perhaps accidental) overfitting.

Now, some reasons for being cautious about inferring from their summary data that simple daily earnings-based strategies are best:

Do they define what they mean by "pe... (read more)

Stupid Questions July 2015

by Gondolinian 1 min read1st Jul 2015123 comments

6


This thread is for asking any questions that might seem obvious, tangential, silly or what-have-you. Don't be shy, everyone has holes in their knowledge, though the fewer and the smaller we can make them, the better.

Please be respectful of other people's admitting ignorance and don't mock them for it, as they're doing a noble thing.

To any future monthly posters of SQ threads, please remember to add the "stupid_questions" tag.