4 ms·
ah i thought so, interesting. I think the challenge is to do 2 while still keeping it realistic, which actually gets very close to synthetic data generation.
by ak_111 2mo ago
ah i thought so, interesting. I think the challenge is to do 2 while still keeping it realistic, which actually gets very close to synthetic data generation.
- RuiWang0811 2mo agowe do affine transformations of the data, so all return/ pnl measures are still the same as with untransformed data. The transformation doesn’t change the conditional distribution of the data, which is what alphas ultimately measure