The small subsets and super high Sharpe ratios look suspicious.
Further red flags in this particular case:
- Completely unclear what kind of data they're using. Are they assuming they can buy and sell one individual contract at the bid price each minute? Or did I miss some crucial information about bid-ask spreads?
- Abstract mentions a profit, not an information ratio/Sharpe ratio or anything similar.
- During training they need to tweak the reward function in order to not end up with "buy and hold"? How good is their strategy compared to buy and hold?
The small subsets and super high Sharpe ratios look suspicious.
Further red flags in this particular case:
- Completely unclear what kind of data they're using. Are they assuming they can buy and sell one individual contract at the bid price each minute? Or did I miss some crucial information about bid-ask spreads?
- Abstract mentions a profit, not an information ratio/Sharpe ratio or anything similar.
- During training they need to tweak the reward function in order to not end up with "buy and hold"? How good is their strategy compared to buy and hold?
- Plots without proper labels.