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https://twitter.com/quantitativo1/status/1812140906033684889When I see a CAGR > 14%, I get skeptical. It's not impossible, but it requires further investigation to determine whether the edge is real. Here, CAGR > 20%. Imagine if many traders started doing this. The market will say, No. 2/n #tradingstrategy #trading
https://twitter.com/rjparkerjr09/status/1608189117690703872The claim that trend-followers do not forecast anything has been debunked by many, but this article in the QUSMA blog offers elegant proof. qusma.com/2014/06/30/tre… 2/n
https://twitter.com/mikeharrisNY/status/1464696599834251268?s=20These backtests have small samples and particular one shows, as expected, there is higher frequency of rebounds on Mondays after a large drop on Fridays, of around 60%. Now, frequency in historical data hardly translates to probability and also even then, 60% probability is low.