Obviously you should do some parameter averaging, e.g. you could compute the signal using various speeds from 5-15 days and average the positions over each parameter choice, to make the strategy robust.
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This taught me more about shannon's demon so thanks for sharing! (
@FREAK0NAUT you may have already known this). Any simple examples in real life that come to mind? Here's an example I came up with where the simple avg return is positive but the actual geom is not.pic.twitter.com/TB0fTk89q0
Please don’t become a Shannon’s demon person. The only real-world use is that it tells you you should rebalance your portfolio from time to time, and maybe tilt a bit toward risk parity (completely uncontroversial). Otherwise, completely uninteresting for practical purposes.
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Haha dont worry, just view it as another concept like anything else. So what do you think about trying to identify assets with positive arithmetic rets and negative geom rets, and then running a simple strat that takes advantage. Not worth it?
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Completely not worth it because you can never be sufficiently sure about the arithmetic and geometric returns you have identified (your confidence intervals will be huge) plus these things will be highly time varying anyway.
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well right... that's all it does, it tells you to rebalance... that's all... it a portfolio rebalancing strategy... of course so is black-scholes...merton... I don't really understand
@macrocephalopod point, those are portfolio returns not security. Just buy a put or shortThanks. Twitter will use this to make your timeline better. UndoUndo
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