[idea] Has the World Changed, Part 2 #idea #es

Adds a refutation to original idea and creates a stepwise path through scenarios: refutation to the world has changed. This would be an interesting controller for a portfolio of strategies.   June 27, 2016 Has the world changed? ES Bear Bull No Overbought GDP falling FOMC trapped   Test 1950 Future growth underestimated FOMC easing/backstopping Read more about [idea] Has the World Changed, Part 2 #idea #es[…]

[idea] Has the World Changed #idea #es

Has the world changed?   Bear Bull No Overbought GDP falling FOMC trapped   Test 1950 Future growth underestimated FOMC easing/backstopping     Test 2100 Yes Retest level last time world changed   Retest 1800 Retest level last time world changed   Retest 1800   Average retest: 1912.50 If below 1912.50, then retest 1800 because Read more about [idea] Has the World Changed #idea #es[…]

False Discovery Rate

Good article on False Discovery Rate – the probability that a significant p-value indicates a true effect and one of the reasons that quant tests and systems generally underperform. For example, Market Stress and Market Stress Automations¬†generally test out at around 85% wins. In real life they run about 62%. Here’s the link: http://www.nicebread.de/whats-the-probability-that-a-significant-p-value-indicates-a-true-effect/