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General Discussion · How to Win a Guessing Game - Numberphile
msg #130016
7/24/2016 12:33:44 AM

Wrote up a script for this in python comparing this vs a few other methods of close-to-close-direction-prediction. This does indeed have an edge with a simple normal distribution using high-to-low mean of the dataset... But it's nothing close to 66.66% (at least I haven't been able to replicate it).

E.g., going long on AAPL every close with 1 day holds till next close with a 6 year backtest has a 51.795% success rate. Using this method going long/short (whatever it signals) has a 52.582% success rate (with 1000 meta-trials over the data to account for the randomness of K). Not insignificant, but probably not worth it either.

Also, more volatile stocks have much higher rates, like 50 long vs 55 this method. Probably because of the larger gaps between data points that was talked about in the video.

Fotchstecker, if you are interested in passing ideas on to me to improve the rates, I'd be happy to implement them and share the script with you.

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