search

Marigold / universal-portfolios

Collection of algorithms for online portfolio selection
Other
779 stars 214 forks source link

Strategy of "Best " #34

Closed hanseul-jeong closed 3 years ago

hanseul-jeong commented 3 years ago

Hi, thanks for well-organized code

I have a question about Best strategy
BestSoFar seems to be different from classic best method

I refer to this survey

If BestSoFar is different strategy, could you tell me a definition or details?

Thanks!

Marigold commented 3 years ago

Another widely adopted benchmark is the Best Stock (Best) strategy, which is a special BAH strategy that puts all capital on the stock with best performance in hindsight (article)

The difference is that Best selects a strategy in hindsight and BestSoFar only looks at the history and selects a strategy with the best performance up to date.

hanseul-jeong commented 3 years ago

Thanks for comments !