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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
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In this issue
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- 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 (Subscribers Only)
- PDF (Subscribers Only)
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