Interesting. It's also less data + more fitted, so higher expected future volatility.
Out of curiosity, what's the difference between a strategy that you test like this one & a strategy that you trade live? When you run it live, do you add stop losses & etc? Or just trade it as is
Interesting. It's also less data + more fitted, so higher expected future volatility.
Out of curiosity, what's the difference between a strategy that you test like this one & a strategy that you trade live? When you run it live, do you add stop losses & etc? Or just trade it as is
Never as is. At minimum, I add risk management measures (filters, different position sizing, etc), but usually not stop losses in mean reversion strats as they degrade the performance
Interesting. It's also less data + more fitted, so higher expected future volatility.
Out of curiosity, what's the difference between a strategy that you test like this one & a strategy that you trade live? When you run it live, do you add stop losses & etc? Or just trade it as is
Never as is. At minimum, I add risk management measures (filters, different position sizing, etc), but usually not stop losses in mean reversion strats as they degrade the performance