Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Evaluating Trading Strategies

Campbell R. Harvey and Yan Liu
The Journal of Portfolio Management Special 40th Anniversary Issue 2014, 40 (5) 108-118; DOI: https://doi.org/10.3905/jpm.2014.40.5.108
Campbell R. Harvey
is a professor at Duke University in Durham, NC, and a fellow at the National Bureau of Economic Research in Cambridge, MA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: cam.harvey@duke.edu
Yan Liu
is an assistant professor at Texas A&M University in College Station, TX.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: y-liu@mays.tamu.edu
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
EMEA: +44 0207 139 1600

Abstract

In this article, the authors provide some new tools to evaluate trading strategies. When it is known that many strategies and combinations of strategies have been tried, it is necessary to adjust our evaluation method for these multiple tests. Sharpe Ratios and other statistics will be overstated. The methods provided by the authors in this article are simple to implement and allow for the real-time evaluation of candidate trading strategies.

TOPICS: Financial crises and financial market history, accounting and ratio analysis, statistical methods

  • © 2014 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management: 40 (5)
The Journal of Portfolio Management
Vol. 40, Issue 5
Special 40th Anniversary Issue 2014
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Evaluating Trading Strategies
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Evaluating Trading Strategies
Campbell R. Harvey, Yan Liu
The Journal of Portfolio Management Sep 2014, 40 (5) 108-118; DOI: 10.3905/jpm.2014.40.5.108

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Evaluating Trading Strategies
Campbell R. Harvey, Yan Liu
The Journal of Portfolio Management Sep 2014, 40 (5) 108-118; DOI: 10.3905/jpm.2014.40.5.108
Reddit logo Twitter logo Facebook logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • TESTING IN OTHER FIELDS OF SCIENCE
    • REVALUATING THE CANDIDATE STRATEGY
    • TWO VIEWS OF MULTIPLE TESTING
    • FALSE DISCOVERIES AND MISSED DISCOVERIES
    • HAIRCUTTING SHARPE RATIOS
    • AN EXAMPLE WITH STANDARD AND POOR’S CAPITAL IQ
    • IN-SAMPLE AND OUT-OF-SAMPLE
    • TRADING STRATEGIES AND FINANCIAL PRODUCTS
    • LIMITATIONS AND CONCLUSIONS
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • Hedge Fund Alpha: Cycle or Sunset?
  • Returns to Option Strategies Following Class Action Lawsuits
  • A Backtesting Protocol in the Era of Machine Learning
  • Analyzing the Performance of Multifactor Investment Strategies under a Multiple Testing Framework
  • Implied Volatility Changes as Evidence of Stock Price Disequilibrium
  • Quantifying Backtest Overfitting in Alternative Beta Strategies
  • Uncloaking Campbell and Shillers CAPE: A Comprehensive Guide to Its Construction and Use
  • Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management
  • The Future of Empirical Finance
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
reply@pm.research.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2023 With Intelligence Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies