Have you ever seen a financial study that looks for mean reversion or momentum in an asset, and takes this math into consideration? They all ignore it.https://twitter.com/robertmartin88/status/1471855929805066241 …
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I think this post is probably most underappreciated and shared post, probably because I wrote it early in the blog when I had so few readers.https://breakingthemarket.com/klay-thompson-from-downtown-why-im-skeptical-of-momentum-and-you-should-be-too/ …
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Even if the effect size was big enough to matter (which I don’t think it is for equities) it completely disappears when you look for consecutive runs symmetrically instead of asymmetrically.https://twitter.com/macrocephalopod/status/1472157606169006082 …
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Not sure about it disappearing.https://twitter.com/breakingthemark/status/1473678341278474241?s=20 …
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