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Joined: Feb 2016
Posted: 2016-06-12 00:10
I am new to quantitative finance, so to start off I have assembled a simple strategy. To my surprise, it beat Diebold Mariano test against random walk, but when I have decided to convert it into trading strategy I have found out that it returns approximately 0 in any possible combination. To the extant that I know, it is really hard to beat DM test, so beating this test should indicate a possibility to generate alpha. This should mean that I have made a mistake, assembling trading strategy. Or does it mean that I am wrong with my perception of the test?
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