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6min chapter
185: How to avoid creating trading strategies that degrade quickly - Timothy Masters
Better System Trader
Stationarity in the Market
Stationarity means that all repeat all statistical properties of the series remain constant across time. We do not want to use an indicator that 20 years ago had a value of five, 10 years ago having a value of 50 today has a value of 500. So we certainly want it to be stationary in terms of what we would call its location. It also should be reasonably stationary interms of its volatility. But as a general rule, we should try to induce some kind of stationarity.
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