I used drift adjusted time series data, but I realize when one is trading against the drift (never a good idea) drift adjusted data will inflate the trade expectation. For example, using the difference method of subtracting the average move over the time series, X expectation will become X-drift. In a rising market, X-drift will be more negative than X, given a higher expectation to go against the drift. X are real points one might have made or lost; X-drift, I suppose, is for statistical significance test reasons. In a rising market if you are trading with the drift, using drift adjusted data gives you more conservative results, which is probably a good thing. But what about trading against the drift? Any comments appreciated to help me get the drift.


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