Just playing around. Has a sharpe > 1 but don't fully understand why.
Just playing around. Has a sharpe > 1 but don't fully understand why.
Interesting Pavy, It looks like a crossover of price regression slopes and a t-test whose null hypothesis is that the samples have the same mean, am I right? I noticed that you never set context.PrevPrice in the handle data loop, was that just left over from fiddling with different settings? I switched it over to use order_target_percent so it re-invests earnings and it looks pretty beastly. I'm not sure why either, I'd have to pick through the signals you are generating, but it looks worth exploring.
David