…. After reviewing the project (and before conducting any experiments), he returned to me and asked “Now that I understand the project, what conclusion do you want to present to your boss (the CEO)? I can experimentally and statistically make a case for whatever conclusion you choose.”
Very insightful anecdote. It reminds me of how little one can predict even by knowing a lot (from Nassim Taleb's "The Black Swan").
Thanks for sharing the article. Did you try using Monte Carlo to simulate the actual close prices and then apply a trading strategy for each simulation run? I am currently working on this in Matlab.