Commit c507a362 authored by Imanol Pérez's avatar Imanol Pérez Committed by GitHub
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parent 4f7094da
......@@ -44,7 +44,7 @@ The return of the algorithm in the training data (from 2007/03/02 to 2012/08/24)
When running the trading strategy with out-of-sample data, the return of the strategy was 64%, while the S&P 500 only returned 47% in the same period. The following plot shows the evolution of the earnings of the strategy, when started with an initial capital of 1000$:
The beta of the strategy for the out-of-sample data is 0.01, so it has the advantage of being market-neutral.
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