Practical investment with the long-short game
Proceedings of the Ninth Symposium on Conformal and Probabilistic Prediction and Applications, PMLR 128:209-228, 2020.
In this paper we apply the aggregating algorithm, an on-line prediction with expert advice algorithm, to real-world foreign exchange trading data with the aim of finding investment strategies with optimal returns. We consider the Long-Short game first introduced in Vovk and Watkins (1998) and it’s implementation, including the derivation of expert predictions from model trading data. Furthermore, we propose modifications to improve the practical performance of the game with respect to well-known portfolio performance indicators.