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Experiment to find out where the point of maximum P&L is, and record the returns that come out of the simulation (they are different to the input returns because they include the permanent market impact that your trading generated)
The cross-correlation of the signal with the returns now looks like this - very different! The same-day correlation is is much higher, and there is no predictability for t+1 or beyond.pic.twitter.com/w9O1zP0yMz
To a casual researcher who doesn't look at fast enough timescales (or doesn't have the infrastructure to trade that quickly) it will look like this signal has been arbitraged away and they probably won't try to trade it!
That's what I think the quoted Renaissance exec means when they say that they trade signals "to capacity" so that other researchers won't discover them. I've no idea how important it is for their edge, but it surely doesn't hurt. Fin.
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