Screening out events

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June 12, 2024 at 2:17 am #102297

Nick Radge
Keymaster

This comment is in the RT forum, but I thought I would make a comment here for everyone’s benefit

Quote:

Hi,
I noticed that my combined OS backtest suffered terribly in the 2 month following the US debt downgrade in 2011 (Black Monday crash).I’ve tried adding a couple of variations of hedging strategies IS, and then re-running the OS test but none react in time to compensate for the drawdown.I’m wondering if the debt rating is something that we can reference somehow.
I see this as a risk still on the table that could be mitigated if sovereign debt rating could somehow be identified by RT.I don’t see this in Norgate but know that Trading Economics ( Credit Rating – Countries – List 2 ) has this available via API but before I re-invent the wheel, I thought I’d ask here.
Has anyone given this some thought?
Rich

In my opinion, this approach closely resembles data mining. It is more advantageous to develop a robust strategy and fully comprehend its intricacies instead of trying to circumvent a single event. Moving forward, similar events will inevitably occur, each with slight variations—be they wider, shorter, longer, or otherwise—and the same outcomes will likely repeat.

June 17, 2024 at 1:32 am #116181

RichardKoziel
Participant

It reminds me of an old aviation saying…
• We measure it with a micrometer.
• Draw the line with a crayon.
• And cut it with a dull axe.

Every time we dip our hand into the data pool, we muddy the water. Now I just need to keep it in mind the next time I am building a trading system.
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