No. of Recommendations: 4
Nagel concluded that because the model was dissecting just 12 months of data, it was simply copying signals that had worked more recently. In other words, it was following a momentum strategy — a well-established trading approach.
... and isn't that what we would expect? A one year backtest trained on 10,000 parameters (most of which are irrelevant or coincident) is as predictive as a one year backtest trained on 10? I mean... that's not even momentum trading.
imagine the cocktail conversation - "I beat the S&P this year by 2% by paying x$$$ for a service that trades based on 10,000 parameters."...
I want the model Bradley Cooper's character used in Limitless.