I have tried using OLS on 90 days of historical data to predict the price of the stock 30 days in the future and use that as a guide to buy/sell stocks at the start of day. Why am I receiving insanely high returns? :-)
Hi Harish, i just did a quick run with your code over the 8 year period from Sept 2009 to Sept 2017 and, while the returns look more-than-astronomical, I did note that the drawdown is > 300% !!! I'm not even sure how to interpret DD > 100% because (thankfully) I've never experienced that. However perhaps you could seek some advice from Mr. Kamal Prasad (and/or offer your algo to him), as I understand he is something of an expert on astronomically high returns. Cheers ;-)) TonyM.
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