I'm not the author, but I'm a huge fan of robust regression. I make between $500-2000/month off a trading strategy based on such a method. (The method is basica

I'm not the author, but I'm a huge fan of robust regression. I make between $500-2000/month off a trading strategy based on such a method. (The method is basically Bayesian linear regression, but using an error model that has a heavier tail than a gaussian.) But a really important thing when using such methods is the lucas critique. When you need to use robust regression you are definitively in a space where all the simple and generic stuff (e.g. linear regression) doesn't work. So at this point it's important to validate the underlying assumptions behind the robust regression scheme. E.g., in my trading strategy, I've gone to great lengths to make sure the tail behavior I'm modelling is an overestimate of reality.