Replacing linear factors with a non-linear, characteristic approach in quant equity
Flirting with Models
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Optimized Walk Forward Models Can't Perform Well on a Market
If you run the same walk forward optimized model in US large cap, you would earn an excess return of 2% and an information ratio of 0.6 after transaction costs since 2010. If you're trying to do walk forward prediction in an efficient market, you're going to have mediocre results as you wouldn't realize. A profitable retail stock in China A shares is not going to be any more correlated with a profitable techStock in China than an unprofitable tech Stock in China.
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