去趨勢化市場數據以計算預期收益(ER)


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我是一個完全的新手,所以請客氣。

我正在閱讀

Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals by David Aronson

我正努力理解以下摘錄:

ER = [p (long) × avg. daily return] − [p (short) × avg. daily return]

For example, if the position biases were 60 percent long and 40 percent short, the expected return is zero.

0 = [0.60) × 0] − [0.40 × 0] Position Bias: 60 percent long, 40 percent short

If, on the other hand, a rule does have predictive power, its expected return on detrended data will be greater than zero. This positive return reflects the fact that the rule’s long and short positions are intelligent rather than random.

我看不到如果去趨勢化的市場數據要求平均水平,這個方程永遠不可能產生大於零的結果。每日收益為0。

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by definition once you remove the trend and other volatility clustering patterns, you are left with white noise, without correlation whatsoever