New answers tagged mean-reversion
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yes, using a rolling AR-1 and μ
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"Am I onto something or is this survivor bias?"
Two obvious points.
two months is a very small sample even if you have a large number of trades, given that it's unlikely to be representative of conditions you can expect to see over a longer period
strategy might be capital constrained. 40% ROI on a modest amount of capital might not translate to ...
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