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high alpha mean reversion algorithm

How do these numbers compare to other peoples algorithms?

2 responses

Try running it with different start dates. You will get very different results. I found this site a few weeks ago and was very excited because
I wrote code which gave huge returns! I soon found the results were extremely sensitive to little things that I did not expect to make any
difference. Good thing I didn't put down any money!

Greg, many thanks for your message. I discovered it a few hours ago and was similarly enthused. I still have to test the code over other time periods however whether I'll ever get comfortable enough to put my own money down remains to be seen!!