Discussion in 'Journals' started by globalarbtrader, Feb 11, 2015.
What are cold futures?
Yes, completely agree.
Haha, funny. Vol futures are not particularly cold at the moment.
I knew what you meant
Is it a good use of time to try to build a more accurate trend filter? Say using machine learning techniques and using more factors/features to redue noise/detection? If not why so?
No, a bad use of time IMHO. I'd be surprised if you could get significantly better out of sample performance from the ragtag bunch of simple trend rules I use myself (I've seen people try, and fail, at this).
You're better off diversifying your system to different instruments and different styles of trading.
This was insanely lucky!
Of the different styles of trading, what would you recommend?
I know you mentioned that trading rules that are too fast can be excluded due to costs.
Let's assume that costs are low or near 0. Is there a timescale at which momentum effect is overwhelmed by noise such that it is useless as a trading rule?
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