1) Please define "your model". I've designed many. Most don't work good enough to trade with. But a few do. And those run live every day the market is open. 2) How are you defining "are fairly efficient"? The answer is complex. If you know nothing about the underlying data then you might make that assumption. But ultimately I suspect your answer is subjective and you have no process to measure this. Which is the whole point. Figuring out how to measure that one thing leads to a profitable trading model.
Just to be clear, the video was about odds arbitrage. You can make money without predicting an outcome with any sort of certainty.
Maybe these sites would provide a clearer explanation... https://www.richmondquant.com/news/...tfolio-returns-can-be-created-out-of-thin-air https://thepfengineer.com/2016/04/25/rebalancing-with-shannons-demon/ For your reading pleasure...what are your thoughts?
I must say your answers was really helpful. I never knew of both theories before today but I always reasoned that some how diversification and varying trade size(rebalancing) should have some effect on my returns. Although it’s all theory(stocks don’t double or halve regularly in that manner) and real market is entirely different beast, this information would be useful for me to carry out more research and improve my money management. Usually most of my questions on ET don’t give me useful answers but yours was indeed insightful. Thanks again.
This is typical of scalping systems that have a 70-90% win rate and the average profit is quite small. In many cases, the commish and fees will turn such a system into a loser. Best solution IMHO: diversify with multiple instruments that are not correlated and multiple algos that are not correlated.
This is a fantastic read. Building his trading platform as well as the trading algos almost made Jim Simon go crazy.
That's a heckuva article. Never heard of volatility drag before. Now I see why monitoring trading performance is so critical....especially when scaling up or down with martingale or anti-martingale betsizing.