Hello everyone,
As part of an academic research project, I am looking for examples of relatively simple systems/trading rules (in equities/fx or futures) that meet the following criteria. If you think of one off the top of your head, whether from experience or your readings, I would greatly appreciate it if you could let me know.
1) System/rule that appears highly profitable in backtesting and recent out of sample testing when zero commission / trading costs / slippage are assumed, but is not profitable when realistic assumptions on the previously mentioned are made.
2) System/rule that has been historically profitable for long periods of time (in practice, with all costs considered) but steadily or suddenly became no longer profitable in recent years.
Thank you,
As part of an academic research project, I am looking for examples of relatively simple systems/trading rules (in equities/fx or futures) that meet the following criteria. If you think of one off the top of your head, whether from experience or your readings, I would greatly appreciate it if you could let me know.
1) System/rule that appears highly profitable in backtesting and recent out of sample testing when zero commission / trading costs / slippage are assumed, but is not profitable when realistic assumptions on the previously mentioned are made.
2) System/rule that has been historically profitable for long periods of time (in practice, with all costs considered) but steadily or suddenly became no longer profitable in recent years.
Thank you,
