Before revision:   Our study is filling this gap by presenting a broad evaluation of the approach showing the resulting average Sharpe ratio of 6.32. However, we do not take into account order execution queues, which of course affect the result in the live-trading setting. The obtained performance results give us confidence that this approach is worthwhile .
After revision:  Our study is filling this gap by presenting a broad evaluation of the approach supported by statistical tools which make it generalisable to unseen data and comparable to other approaches .