The stats here appear quite bearish. But below is the equity curve.
It appears over the last few years this setup has failed to deliver consistent downside movement. I looked at this a number of ways this morning and most of the equity curves looked like this. So be careful getting overcondfident trying to short this gap.
1 comment:
Hi Rob,
When you write Understanding Quant Edges Part Deux, will you be giving insight as to how best to interpret an equity curve?
Thanks for all the fine writing.
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