Segerstrom, Paul - Stockholm School of Economics

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International Trade - Department of Economics

The Reversals are not intended to pick highs or lows. They are generally a trend “following” type system that requires the market to take action. They become an excellent way to gauge the real trend The image below shows the corresponding out-of-sample trading results, where the MGTN model significantly out-performed other deep learning agents. Image by author It is important to stress that the above simulation makes a lot of assumptions (e.g. no latency, no transaction costs, no market impact, etc.), so take the results with a pinch of salt.