Comment Posted Online to “Quantitative Strategies for Selecting Stocks,” by Richard Tortoriello, May 2010 AAII Journal:
We need more articles like this on quantitative methodologies, assumptions and results.
Tortoriello requires a linear relationship in his quintiles. Sometimes both the low and high values may have the best (or worst) performance. By dividing into deciles and using decision-tree software, one can discover relationships other than linear relationships. Even in a linear relationship, one would want to know the best cut-off value.
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