I recently got into the trading world and have been reading Ernie Chan's book on running your own quantitative trading business. In the book he demonstrates a couple of backtests, and there are a few conceptual problems I can't work out. - Are positions held overnight in the tests? - I'm a programmer by trade and as such have mangled the python code endlessly but to no avail.
If you have the book, shouldn't you be telling us? If we cared. Otherwise ever heard of G o o g l e and new and improved half priced if you act now, Google with Gemini AI? Q: Does Ernie Chan hold overnight? A: Based on Ernie Chan's own statements, he does not typically hold overnight positions in his Tail Reaper strategy. Here's a more detailed explanation: Tail Reaper Strategy: Ernie Chan, CEO of Predictnow.ai, is known for his Tail Reaper strategy, which aims to hedge against tail risk (extreme market movements). No Overnight Positions: Chan has stated that his Tail Reaper strategy is designed to work effectively even without holding any overnight positions. Intraday Focus: The focus of the strategy is on intraday (within the same trading day) movements and hedging against potential tail events, rather than holding positions overnight. Past performance is not indicative of future results