I work at the trading desk P&L department at a large bank. The trading desk has positions in almost all sorts of derivatives (options, futures) over a long list of stocks, currencies, commodities... My boss asked me to do the following:
1) Show that it is not possible to predict next years P&L
2) Build a working econometric model to predict next year's P&L
The daily P&L time series is really not stationary.
Can I tell my boss that:
Non-stationarity $\Rightarrow $Cannot be predicted based exclusively on the time series. Is it true? At least to start and show him that the time series is not enough to make predictions and that we will need, at least, a complex machine learning model to do so.