Recent content by nicholaf

good idea, but too bad, the real world is different. the spreads are too large and with trans cost and slippage, you're basically dying by 1000 cuts. this is the prob with many backtested systems. misses the real world factor and this is deadly.

it can be done. there was a lot of discussion about the fact that systems cannot last, etc. that's true, but it doesn't apply. the fact that the bayesian system can predict posterior probs given your prior ones with any reasonable accuracy has nothing to do with how the edge can stay...