The title of this post may lead some readers to conclude that in the current environment, there are so many uncertainties that it is impossible to forecast where markets will go in the next 12 months or so. That is true but remember that the world is always full of uncertainties of all kinds and two recent studies show that even if you have hundreds of years of data at your disposal forecasting equity markets for the next 12 months is almost always a useless exercise.
Well said. if I may ask, why is out of sample data, the data you’d be most concerned with; given that the in-sample data covers the time series of the analysis you’re researching?
would it be valid to test a model that reduced draw downs rather than beat the market? What if I sold when the market dropped 2% below the 200ma and bought when the market rose 2% above the 200ma? Over long time horizons I would be less likely to panic sell.
Well said. if I may ask, why is out of sample data, the data you’d be most concerned with; given that the in-sample data covers the time series of the analysis you’re researching?
Until next Tuesday I will continue to avoid predicting anything.
No silver bullet
would it be valid to test a model that reduced draw downs rather than beat the market? What if I sold when the market dropped 2% below the 200ma and bought when the market rose 2% above the 200ma? Over long time horizons I would be less likely to panic sell.