Re: [心得] 用FB Prophet預測美股未來行情

https://link.springer.com/chapter/10.1007/978-981-16-3067-5_12

這東西已經很多論文幫你回測過了

基本上是沒什麼用

https://www.backtrader.com/blog/2019-08-22-practical-backtesting-replication/practical-replication/

I've reproduced 130+ research papers about "predicting the stock market",
coded them from scratch and recorded the results. Here's what I've learnt

Because it has been deleted here a quick summary:

The strategies do not work

If the authors claim a given strategy stopped working due to alpha decay, thetests were run against past data and it still did not work

Bottomline: It's all overfitting, p-hacking or a tiny alpha which doesn't
need to decay because commissions do already destroy the alpha.

就算是學術論文也充滿陷阱

我建議看論文時

沒有sharpe ratio的都直接跳過

不考慮交易成本的也直接跳過

只用個股OHLVC做預測的也直接跳過

你的交易成本夠低嗎？

你的系統速度夠快嗎？

你的資料品質夠高夠細膩嗎？

建議以上幾點都做到最好 再來玩量化交易

個人淺見

--