153: Xiao Qiao – Research Analyst Shares Practical Ways to do Better Research
Chat With Traders
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How to Combine Return Predictors to Build a Trading Strategy
A back test of our market timing strategy is able to achieve twice the average returns of the S&P 500 during the same period with only half the volatility, thereby quadrupling the sharp ratio of buying hold. So in the end, it's very simple strategy that overweights underweights the market and you can actually do much better compared to the market. We showed that if we combine 20 return predictors, that actually leads to strong enough forecasting results to build a trading strategy.
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