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Re: Always accept detrended result as more realistic? [Re: jcl] #471694
03/15/18 14:17
03/15/18 14:17
Joined: Dec 2017
Posts: 129
Halifax, NS
K
kujo Offline
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kujo  Offline
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K

Joined: Dec 2017
Posts: 129
Halifax, NS
I see. So, to sum up, the general guidance looks like this:
- It's recommended to use detrending in Train almost always, unless the strategy exploits long-term trend.
- It's not recommended to use detrending during Test, unless the strategy is very asymmetrical, i.e. long-only.

Does it make sense?

Re: Always accept detrended result as more realistic? [Re: jcl] #471695
03/15/18 14:33
03/15/18 14:33
Joined: Feb 2017
Posts: 815
Chicago
AndrewAMD Online
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AndrewAMD  Online
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Joined: Feb 2017
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Chicago
I also have a question:

Is DETREND intended for observing DETREND training's effects on testing, or is it supposed to be used for code in production as well?

That is, would there ever be a reason to train data with DETREND and use that code in production?

Re: Always accept detrended result as more realistic? [Re: AndrewAMD] #471717
03/16/18 06:50
03/16/18 06:50
Joined: Jul 2000
Posts: 27,065
Frankfurt
jcl Offline

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jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,065
Frankfurt
Yes. You normally want to trade with parameters that work independent of trend.

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