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Description
  • The article is focused on capital market trading systems evaluation. An aggregate performance index is put forward to ensure a complex measurement of different dimensions of trading system performance. The model is developed in several modifications. Dynamic version of the index is put under particular scrutiny and through logistic regression is compared with three existing performance indicators. Binomial type logistic regression shows the aggregate index has higher accuracy in filtering profitable and unprofitable out-of-sample returns than the three compared indicators.
  • The article is focused on capital market trading systems evaluation. An aggregate performance index is put forward to ensure a complex measurement of different dimensions of trading system performance. The model is developed in several modifications. Dynamic version of the index is put under particular scrutiny and through logistic regression is compared with three existing performance indicators. Binomial type logistic regression shows the aggregate index has higher accuracy in filtering profitable and unprofitable out-of-sample returns than the three compared indicators. (en)
Title
  • 5 F performance indicator: A robust metric for trading systems evaluation?
  • 5 F performance indicator: A robust metric for trading systems evaluation? (en)
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  • 5 F performance indicator: A robust metric for trading systems evaluation?
  • 5 F performance indicator: A robust metric for trading systems evaluation? (en)
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  • RIV/70883521:28120/12:43868468!RIV13-MSM-28120___
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  • V
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  • 183519
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  • RIV/70883521:28120/12:43868468
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  • currency market, performance indicator, yield, logistic regression, drawdown, out-of-sample, Sortino ratio (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [D2A34746C445]
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  • Zllín
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  • Advances in Finance and Accounting
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  • Svoboda, Jiří
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http://linked.open.../riv/zahajeniAkce
issn
  • 2227-460X
number of pages
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  • WSEAS Press
https://schema.org/isbn
  • 978-1-61804-124-1
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  • 28120
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