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OOS Cross-Validation of Our Vol Trading Strategies

OOS Cross-Validation of Our Vol Trading Strategies

policytensor
Mar 18, 2020
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OOS Cross-Validation of Our Vol Trading Strategies
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It doesn't matter how well your model fits the data. What matters is how well it performs out-of-sample (OOS). I've just uploaded a research note documenting the OOS performance of my retail and wholesale strategies for trading the term structure of expected volatility. If you want the details, go there. I thought I'd upload the pictures here for the tl…

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