Home Forums Checking AlgoQuant strategies using Random Walk

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    haksunli
    Keymaster

    If the price process is indeed random walk, the expected pnl should be (close to) 0, right?

    Shall we check all AlgoQuant strategies by feeding it a (vector of) random walk process(es)? If the pnl is not (close to) 0, it maybe bugs in our implementation.

    What do you think?

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