Came across this trading journal "Universal Trend Trading", where the trader works with Fx and index futures, and claimed
"
...CAGR over last 40 years is about 40%.
I have a degree in IT, so I wrote my own backtesting engine.
"
Apparently anyone able to write code with minimal understanding of applied statistics could make a killing trading the insanely competitive products. Long story short, his $500K account lost about $200K in the first 2 month, and today (a year later), it is at roughly $190K.
Historical Patterns do not apply for competitive ventures
Large enterprises invest heavy resources into R&D because they are aware of this. Simply repeating a business model that was successful in the past in no way guarantees similar success into the future.
Again, a good curve fit means nothing
As mentioned by Ramsey Theory, given any large set of random data, patterns can be found. Therefore, it is very unlikely for a purely quantitative approach to succeed in financial trading.
"
...CAGR over last 40 years is about 40%.
I have a degree in IT, so I wrote my own backtesting engine.
"
Apparently anyone able to write code with minimal understanding of applied statistics could make a killing trading the insanely competitive products. Long story short, his $500K account lost about $200K in the first 2 month, and today (a year later), it is at roughly $190K.
Historical Patterns do not apply for competitive ventures
Large enterprises invest heavy resources into R&D because they are aware of this. Simply repeating a business model that was successful in the past in no way guarantees similar success into the future.
Again, a good curve fit means nothing
As mentioned by Ramsey Theory, given any large set of random data, patterns can be found. Therefore, it is very unlikely for a purely quantitative approach to succeed in financial trading.
1 Reflections:
I couldn't resist commenting. Exceptionally well written!
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