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This is super interesting. The delay between the transaction and the disclosure may not be much of a handicap if lawmakers are making the purchases far in advan
by phailhaus 3y ago
This is super interesting. The delay between the transaction and the disclosure may not be much of a handicap if lawmakers are making the purchases far in advance of the events to come. Has anyone run a historical backtest of this strategy?
- paulpauper 3y agoIt is hard to run a backtest when the actual strategy cannot be explicated precisely. For example, you would need to know the size of the account/capital. Just saying that a congress person sells $1 million of microsoft is useless unless you know when it was purchased how much capital total etc.
- phailhaus 3y agoThat shouldn't be hard, we have historical stock market data that we can use. The strategy would enter/exit positions on the day that the disclosures were released, see if it beats the market.