In a battle of man versus machine, who will win? If you’re talking about trading, it will be the machine, hands down. This article will tell you why.
Some portfolios perform differently at different time. QT member will be seduced into jumping onto those that are generating the best returns today. May I suggest that this may not be the best blueprint to follow?
There are number of topics that come up on a regular basis on the trading blogosphere, but the one most important and the most frequently talked about, is “how the markets are rigged.” Anyone who has been in this business for any length of time can tell you with 100% certainty the markets are rigged. Plain and simple, the markets, specifically the exchanges, are totally geared towards screwing you, the retail investor.
Rolling returns are used to look at the returns of any system for the holding periods similar to those actually experienced by investors because it breaks a performance period into many smaller, overlapping periods, kind of like slowing a movie down to study it frame by frame.
What to do when we get filled at daily lows (or daily highs if shorting)? This is a very good “problem” to have but we still need to make sure we’re being fair to all members.
You need to trade it as if you were the algorithm, not as if you were a trader. Does the algorithm take heed of the news? Does the algorithm worry about economic events that take place during the day? Does the algorithm watch price action during the day? NO it does not!