Please, describe what the strategy here is, then go and simulate it. It will *at best* be flat.
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Hmmm... you still haven't explained how a stock that's generated with RANDOM noise with a geometric mean multiplier of 1 - so, a stock that goes absolutely nowhere because there's no mean reversion or trend - can make you incredibly rich. I guess we're all insane morons!
That's not what we were talking about? I only ever mentioned arithmetic mean zero. You challenged that, then later realized you were wrong and retracted - fine. Some other guy continued to push his wrong idea, so I simulated it to show it was wrong.
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Well, look at your tweet thread: "Here's a quick primer on how to build a quant reversion strategy. First step is to find a price series that...may have some reverting behaviour -- this ... looks reasonable but you could use an ETF, currency, whatever really."...
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Your tweet clearly implied that in order to make money there has to be some predictable behavior like mean reversion (or trend, presumably). But that's not true - a stock that wanders aimlessly with NOISE with a geomean multiplier of 1, so it goes nowhere - could make you rich.
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