macrocephalopod

No it really is an overfit.

The fact you chose 7 days is an overfit. However, the fact you see positive Sharpe at any horizon is because of Shannon's demon. @breakingthemark

This is further proof to me that the “shannon’s demon” crowd are actually insane.

Shannon’s demon needs +ve arithmetic return but flat or negative geometric return. I generated this data myself so I know it has zero arithmetic return! The fact that you would argue with me about data *that I made up* is simply a confirmation that you are an idiot.

To be fair, you started the thread portraying the data as a real stock, and not a random stream you made up. What's the volatility of the actual data, and I assume it's daily data?

The entire point is that it’s a bait and switch! There is absolutely no way that you can read the entire thread and conclude “yes, it would be possible to make money from this” unless you are a moron. It’s 1%/day volatility zero arithmetic drift geometric brownian motion.

Well, I'd like to think I'm not a moron, and it wasn't clear to me the arithmetic mean was 0 until you explicitly said so. Maybe that was immediately clear to non-morons before you said so?

Mean zero is the *best case* for the strategy I described! If mean > 0 then a reversion strategy is short more often than long so it would lose money. If mean < 0 then a reversion strategy is long more than it is short so it would lose money.