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InmanRoshi
Re: How was 2021?

deleted.

Jan 16, 2022 6:29:08 AM       
Edit 6 times, last edit by InmanRoshi at Jan 16, 2022 8:02:47 AM
Jrinne
Re: How was 2021?

All,

To be clear I think Cary is not talking about me. I was nothing but complimentary about Azouz's results for example. I could rightly be accused of being a Gushing Fan-boy but not of questioning his data. I have had the opportunity to email Azouz in the past and I have nothing but admiration and respect for him. I was similarly complimentary of Dan sharing his results I believe. Yuval's results have been well verified in my opinion. And to be completely clear, I believe them.

Cherry-picked and anecdotal results can be factually correct but misleading. Unless you can read minds you never know what is intentional.

Unless they tell you what they were thinking that is. Let me confine the rest of this to the honorable profession of medicine.

There is a famous ophthalmologist that you probably could be reminded of from TV or the news whom I worked with at one of the Universities. He has published (and been on TV and in the news).

I would not describe it as admitting to cherry-pricking but rather as simple bragging. And a big joke among colleagues in the know. I am still not able to mind read but perhaps I got a glimpse of his possible intentions through his words

His published paper described a "continuous series" of n patients and their surgical results.

His brag was about how the now blind n + 1 patient in the series had done (and his leaving that out). He had purposely selected the series he published. He was well aware of the poor result for the n +1 patient. His paper was accurate.

I could give endless examples of p-hacking (intentional or unintentional). But adding to the sample until the results are "statistical" is like making coffee in the morning for some. Part of the job if you want to keep your NIH grant and become a full professor at the Universty.

You might look at the Science Paper with my name on it (I was a student at the time). There is removal of data in that paper and a big debate about the removal occurred at the time. I am honestly unclear of some of the details except that that PhD thought that the data should not be removed. Needless to say he did not get a humanitarian award for sticking to what he thought was ethical. He was fired instead.

Could someone please check whether the statute of limitations is up on that? BTW, I am taking a cold medicine and my thinking may not be clear as I write this. Seriously, I forget some of the details and there could have been a footnote about the data being removed and the reasons for it for all I know (or remember). But I am sure that there was at least a hint of p-hacking that the PhD did not like and he wanted to withdraw the paper before publication. But I cannot say whether he or the lead investigator was right at the end to the day. I just wanted my name on a Science paper for my CV and I was probably looking at the lab-tech when much of this occurred.

Not that I think that kind of thing ever occurs in finance.

I do see a lot of survivorship bias in the Designer Model. I am not claiming this is an ethical issue as I would remove models that were found to s*@k out-of-sample myself. Hmmmm....I have work in medicine as a doctor and a researcher (with an NIH grant). You might question any series of returns I present to you in the future. Just saying.

Best,

Jim

Great theory, "and yet it moves."
-Quote attributed to Galileo Galilei (1564-1642) gets my personal award for the best real-world use of an indirect proof or reductio ad absurdum.
`

Jan 16, 2022 7:20:37 AM       
Edit 17 times, last edit by Jrinne at Jan 16, 2022 8:44:44 AM
InspectorSector
Re: How was 2021?

Could someone please check whether the statute of limitations is upon that? BTW, I am taking cold medicine and my thinking may not be clear as I write this. Seriously, I forget some of the details and there could have been a footnote about the data being removed and the reasons for it for all I know (or remember). But I am sure that there was at least a hint of p-hacking that the PhD did not like and he wanted to withdraw the paper before publication. But I cannot say whether he or the lead investigator was right at the end to the day. I just wanted my name on a Science paper for my CV and I was probably looking at the lab-tech when much of this occurred.


Jim - I think you are safe :-) I'm sure the medical profession has bigger things to worry about when it comes to research studies.

https://www.cbc.ca/news/health/covid-19-vacci...on-anti-vaxxers-1.6315890

Jan 16, 2022 9:55:15 AM       
Jrinne
Re: How was 2021?

Steve,

Thank you. That is clearly what one does (whether it can be justified or not). Keep adding data until it shows what you want. Then stop if the next set of data muddies the picture you want to present for your next grant (p-hacking).

That is what the NIH was paying us to do (sometimes). I do not want to hide data myself. There was a researcher (MD, PhD) who would have me call patients long after the study was over to make sure their condition had not changed. And would have withdrawn any study in a heartbeat with any new information.

But thinking abut it, we had an animal study where one group (of mice) died after 2 weeks due to a GI infection that went through the facility. Solution, switch to study of a 2 weeks study and keep those mice in the study. That is technically p-hacking.

BTW, I can absolutely guarantee that no herpes virus samples ever escaped from that lab. The infection control was perfect.

Best,

Jim

Great theory, "and yet it moves."
-Quote attributed to Galileo Galilei (1564-1642) gets my personal award for the best real-world use of an indirect proof or reductio ad absurdum.
`

Jan 16, 2022 10:10:43 AM       
Edit 9 times, last edit by Jrinne at Jan 16, 2022 10:34:47 AM
InspectorSector
Re: How was 2021?

Jim - I have turned into a cynic in my old age. That is why I brought up the 2021 stock-picking contest results. As for Covid, I am pretty much a cynic about big pharma and the push for patentable vaccines. (At last count, there have been 40 billionaires that made their fortune on vaccines and testing.) There is some evidence out there (I'm struggling to find it now) that suggests that too many vaccines against a certain virus cause something called "vaccine mapping" where the immune system believes a mutation is the same as the virus originally vaccinated against and is not effective against the mutation. I know back during the swine flu there were rumors that the people dying were those that had the seasonal flu for several years. I would be wary of having too many booster shots or any for that matter. We may be doing more damage than good...

Jan 16, 2022 11:17:24 AM       
RTNL
Re: How was 2021?

My performance for my personal account was 44.58% for 2021. I was invested around 85% and had on average 15% cash during 2021.
I am using seven P123 strategies. I invested around 5% in QQQ and traded few options (less than 20k).


Azouz, congrats! Can you enlighten us more about your investment philosophy, and what criteria have you found to be useful in building your models? To the extent you want to share, of course.

Jan 16, 2022 12:20:15 PM       
RTNL
Re: How was 2021?

All,

To be clear I think Cary is not talking about me. I was nothing but complimentary about Azouz's results for example. I could rightly be accused of being a Gushing Fan-boy but not of questioning his data. I have had the opportunity to email Azouz in the past and I have nothing but admiration and respect for him. I was similarly complimentary of Dan sharing his results I believe. Yuval's results have been well verified in my opinion. And to be completely clear, I believe them.

Cherry-picked and anecdotal results can be factually correct but misleading. Unless you can read minds you never know what is intentional.

Unless they tell you what they were thinking that is. Let me confine the rest of this to the honorable profession of medicine.

There is a famous ophthalmologist that you probably could be reminded of from TV or the news whom I worked with at one of the Universities. He has published (and been on TV and in the news).

I would not describe it as admitting to cherry-pricking but rather as simple bragging. And a big joke among colleagues in the know. I am still not able to mind read but perhaps I got a glimpse of his possible intentions through his words

His published paper described a "continuous series" of n patients and their surgical results.

His brag was about how the now blind n + 1 patient in the series had done (and his leaving that out). He had purposely selected the series he published. He was well aware of the poor result for the n +1 patient. His paper was accurate.

I could give endless examples of p-hacking (intentional or unintentional). But adding to the sample until the results are "statistical" is like making coffee in the morning for some. Part of the job if you want to keep your NIH grant and become a full professor at the Universty.

You might look at the Science Paper with my name on it (I was a student at the time). There is removal of data in that paper and a big debate about the removal occurred at the time. I am honestly unclear of some of the details except that that PhD thought that the data should not be removed. Needless to say he did not get a humanitarian award for sticking to what he thought was ethical. He was fired instead.

Could someone please check whether the statute of limitations is up on that? BTW, I am taking a cold medicine and my thinking may not be clear as I write this. Seriously, I forget some of the details and there could have been a footnote about the data being removed and the reasons for it for all I know (or remember). But I am sure that there was at least a hint of p-hacking that the PhD did not like and he wanted to withdraw the paper before publication. But I cannot say whether he or the lead investigator was right at the end to the day. I just wanted my name on a Science paper for my CV and I was probably looking at the lab-tech when much of this occurred.

Not that I think that kind of thing ever occurs in finance.

I do see a lot of survivorship bias in the Designer Model. I am not claiming this is an ethical issue as I would remove models that were found to s*@k out-of-sample myself. Hmmmm....I have work in medicine as a doctor and a researcher (with an NIH grant). You might question any series of returns I present to you in the future. Just saying.

Best,

Jim


You are on to something here, Jim. There is a serious replication crisis in factor research that is well documented. And what works may never get published too, as some prop shop/hedge fund where they found the anomaly does not want the alpha to decay.

Jan 16, 2022 12:25:51 PM       
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