026: Systematic trader Robert Carver discusses trading rules, what makes a good trading rule and the advantages of using continuous rather than binary rules. He also shares insights into over-fitting and the challenges of walk-forward testing that can mak
Better System Trader
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The Weighting Problem in Portfolio Construction and Finance
The key understanding I think that people need, perhaps they appreciate is that if you look at the returns before costs, these are very noisy statistical things. It's really, really hard unless you have a lot of data or some trading rules that are amazing and one of which is absolutely appalling. So we kind of end up in a situation where the information that really matters is the correlation and the costs. There isn't really a lot of statistical significance in other data to go beyond that.
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