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|seen||Nov 21 '12 at 10:22|
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?