What's new?
Hi everyone! Ive backtested an agriculture basket of ETFs, consisting of wheat, corn, soybean, and sugar cane. Ive redone the cross validation code and redone sharpe calculation by weighing recent folds more.
Interesting things I've noticed after backtesting:
-The long only strategies have long periods of underperformance
-Short term reversal performs the best across all types
Best strat by sharpe: Time Series Long/Short Short-term Reversal
What's next?
I have a few ideas to test out next (in no specific order):
- Metalabelling (applying ML to existing strategies)
- Crypto