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This is such a weird criticism of systematic that I somehow see all the time —
“Algorithmic trading models only look at history”
ok and discretionary traders can … see into the future … somehow?
Mar 13, 20:32
An Ex-Goldman MD who traded nat gas for 12 years thinks systematic trading models can have fatal flaws when applied to commodities.
"If you had this strategy running in 2015, there would not be a possibility of the gold market trading 4,000." - let alone 5000
The model has no data for what's never happened.
"What you've seen in the last eight weeks — prices going vertical — that is not found in the history of the gold market anywhere."
So the algo fades it. In week two. In week three.
"I think humans matter."
Every quant who thinks they've solved regime detection needs to answer this.
It’s not even really about this interview (which is bad, and he makes his point badly) just an observation that people make this criticism all the time, despite the incredibly obvious fact that discretionary traders wrongly pattern match to history *all the time*
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