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In practice, trading costs are very steep, and a single trading signal is almost never enough to exceed them, but multiple signals can be combined to make a dec
by makeset 13y ago
In practice, trading costs are very steep, and a single trading signal is almost never enough to exceed them, but multiple signals can be combined to make a decision while costs stay the same. For an individual signal study like this, a no-costs assumption can be useful to see if it has any predictive value on its own.
- lotsofcows 13y ago"but multiple signals can be combined" This sort of thing always worries me. With remarkably few disparate data sets you can get any result you want.