17 Sep, 2008
Error, you need to properly test that strategy!
Posted by: Milton In: Automation| Market Neutral
I’ve been testing (very small amounts of live money) a strategy that seemed to be basically foolproof. Today I realised it isn’t!
It’s a mean reversion based strategy which is mean reverting, though unfortunately there is some creep in it which changes the status of the mean reversion without the position coming good.
I was trading it [...]