This is such a weird argument to be having. I literally generated some random data and people want to tell me you can develop profitable trading strategies for it. Is this what going insane feels like?
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I’m surprised the equity curve looks like this. It would suggest that doing the opposite could be a great money maker.
No, if you did the opposite then the volatility drag still works against you. Geometric return is arithmetic return minus half the variance. If arithmetic return is zero then going long/short with rebalancing has the same negative expected return.
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Thanks. Twitter will use this to make your timeline better. UndoUndo
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Depend on how your using "expected return". In the traditional sense it's zero. But if Geometric is "expected", then you just short it and expect to make money, which is why it's not normal for stocks to have zero arithmetic return.
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It's not normal for stocks to have zero geometric return either.
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