Xin Cui — Quant • HFT • ML

Paper proposes a new framework to compare trading strategies by accounting for market conditions.

problem Lack of information on how trading strategy performance varies with market conditions.

method Uses a GAMLSS/ZAGA framework to model the Adjusted Information Ratio (

IR^{\ast}

) for a SVMP and BH strategy across 146 folds of the S&P 500.

result Dominance of SVMP over BH is conditional on market regime, as shown by differences in expected

IR^{\ast}

and its variance.

arXiv research