Robert Carver on How To Build Successful Trading Strategies
Macro Hive Conversations With Bilal Hafeez
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How to Predict the Performance of Models in a Trading Environment
It's very hard to see differences in the performance of models, statistically different models across different instruments. The one thing we can predict with very good accuracy and estimate good accuracy is trading costs. So what I do do is I put less allocation to rules that trade quickly in assets that are expensive to trade. If those Eurodollar futures of interest rate futures are very expensive to trade, S&P 500 futures are very cheap to trade.
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