The data-mining tag has no wiki summary.
7
votes
0answers
287 views
Can we use White's reality check to compare two Sharpe ratios?
I read a paper from Ledoit and Wolf that proposes a method to compare two Sharpe ratios and a paper from White that proposes a method to compare $n$ trading rules.
My question is: Can we use White's ...
4
votes
0answers
329 views
How to better understand trading signals?
I am looking to get a better understanding of an output from a trading strategy. Basically I have a daily equity curve lets call it $Y_t$. I have defined a bunch of independent variables $X_{it}$ that ...
