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My bigger problem with the article is he’s fishing. He’s just throwing a bunch of technical parameters against all stocks and testing a few randomly selected ti
by bko 6y ago
My bigger problem with the article is he’s fishing. He’s just throwing a bunch of technical parameters against all stocks and testing a few randomly selected time periods. Of course he’ll find something especially when he can wave off a model by saying oh it doesn’t work on X
Reminds me of https://xkcd.com/882/ https://xkcd.com/882/
- fractionalhare 6y agoThat's right. At minimum there should be Bonferroni correction to adjust for the number of (implicit) hypothesis tests being executed. If we pursue this methodology with a significance level of p = 0.05 and test 20 independent signals against some financial metric, we can expect to find one of them to exhibit correlation simply by chance. Considering the OP tested 32 technical indicators against the dependent variable, this likely happened.