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A tear sheet. (Too good to be true).

As it turns out, these results are too good to be true. I accidentally exploited this bug:

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2 responses

Warren, how does your algo do if you use the new slippage model, FixedBasisPointsSlippage? My guess is that the results don't hold up as well, but I"m interested in knowing if that is true.


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I don't know if slippage will affect it much. I'm going to have to go over this one carefully to see if it is realistic though.