Quote:
Originally Posted by mrtools
Guess since this is fake strategy, then guess this trade not happening now, guess we are in the "Twilight Zone"  |
If you use SSA for this strategy and I think it is a case than not only the cycle graph but also sell signal is most likely repainted. Don't have to be but there is a great possibility for it.
So SSA is maybe strong denoiser and detrender but usage of non casulal version in real time trading is limited and improved results this is a combination of repaint impact and denoise/detrend impact.
Personally i simple don't care as I use casulal versions of SSA and HP filter.
Krzysztof