anyone get a nice pnl? - Githubissues

SummerStoneS / PCA_stock

use PCA method to select stocks and O-U stochastic process to control risk during stock selection and trading period

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Open Jerryhe1995 opened 5 years ago

Jerryhe1995 commented 5 years ago

I did try this strategy on hs300 in Chinese stock market, but the pnl seems inconsistent with the authors'.

SnowWalkerJ commented 5 years ago

How did you try the strategy on HS300 exactly? It seems the strategy is about stock picking instead of timing.