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| visits | member for | 7 months |
| seen | Nov 21 '12 at 10:22 | |
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Oct 17 |
comment |
Statistical significance of trading systems that use indicators with long lookbacks @pteetor - I'm not claiming any generalities here, and I agree that a high-turnover strategy could still make use of a parameter estimated over a long historical period. To illustrate my question, take for example the simple 'value' strategy from Asness et al, where they use a 5Y lookback, with over 30 years of data. Would their results be as significant on just 5 or 10 years of data? |
