Dear Sir,
I am very happy with the courses on Quantra so far. However I am worried about the descrepency between the notebook under 'Compare the regimes' and the video in section 8 of the short selling course by Laurent Bernut.
According to the video the floor-ceiling method outperforms the rest, but the notebook shows that the SMA is substantially better. Can you please explain? Which one is correct, video or notebook? I haven't downloaded the resources yet, but assume it is the same as the notebook online.
If the video is correct, can you fix the notebook please? The regime filter is one of the major reasons for me buying this course.
Kind regards
Philip du Toit
We will check and get back to you. Thanks
The notebook looks correct. We will update the video. Thank you!
The next question after the video still indicates floor-ceiling as best method, although the video now says that SMA performs better.
Please explain. Is it taking the 20 day lag into consideration? The video also says that SMA suffers from volatility issues.
Can you indicate a motivation to use the floor-ceiling or evidence, please.
Hello Philip,
Thanks for point that out. We've made the change in accordance with the video which is that SMA performed the best in this scenario.
Yes, the lag of 20 days is taken for the floor and ceiling method.
SMA shows higher divergence as can be seen on the graph in the video.