

Using weather as a trading signal - gusgordon
https://www.quantopian.com/posts/using-weather-as-a-trading-signal

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ericssmith
This comment caught my eye: "because after transaction costs it did not show
enough of a gain"

I've always wondered why assumptions about transaction costs and execution
speed never show up in these kinds of "studies". Anyone who has participated
in markets understands they have a significant impact on results.

Also, doesn't it seem obvious that you would analyze the results based on
multiple random entry & exit points rather than cherry-picked (or arbitrary)
time periods?

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gusgordon
This does take into account commission, see here:
[https://www.quantopian.com/help#ide-
commission](https://www.quantopian.com/help#ide-commission)

I wanted to use the longest time period possible, and this was the most info I
could find about forecasted cloud coverage in NYC in the past 10 years or so.
It's also worth noting that this is just an example, the paper it's based off
of is more in-depth. Unfortunately they concluded that transaction costs made
trading based off of this strategy almost not worth it, but the main point
here is that it's interesting.

~~~
ericssmith
"transaction costs made trading based off of this strategy almost not worth
it"

Be interesting to know how it stacks up against other approaches in this
regard.

"main point here is that it's interesting"

That it is.

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pallandt
Spurious correlation.

