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  • The aim of this paper is to present an aggregate performance measure for indication of profitable trading systems. The performance measure consists of profitability, favourability, financial default and stability subindexes. The aggregate index is tested on 20 trading systems, across 16 currency pairs and evaluated on out of sample returns. Relationship between aggregate index value and out of sample returns is examined. The paper also discusses the strengths and weaknesses of elaborated model and provides possibilities to enhance the process of performance measurement of trading systems.
  • The aim of this paper is to present an aggregate performance measure for indication of profitable trading systems. The performance measure consists of profitability, favourability, financial default and stability subindexes. The aggregate index is tested on 20 trading systems, across 16 currency pairs and evaluated on out of sample returns. Relationship between aggregate index value and out of sample returns is examined. The paper also discusses the strengths and weaknesses of elaborated model and provides possibilities to enhance the process of performance measurement of trading systems. (en)
Title
  • Can Aggregate Performance Metric Be Used to Predict Future Returns?
  • Can Aggregate Performance Metric Be Used to Predict Future Returns? (en)
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  • Can Aggregate Performance Metric Be Used to Predict Future Returns?
  • Can Aggregate Performance Metric Be Used to Predict Future Returns? (en)
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  • RIV/70883521:28120/12:43867868!RIV13-MSM-28120___
http://linked.open...avai/predkladatel
http://linked.open...avai/riv/aktivita
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  • V
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 125875
http://linked.open...ai/riv/idVysledku
  • RIV/70883521:28120/12:43867868
http://linked.open...riv/jazykVysledku
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  • performance measurement, backtesting, out of sample, returns (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [B4EACF74F595]
http://linked.open...v/mistoKonaniAkce
  • Istanbul, Turecko
http://linked.open...i/riv/mistoVydani
  • Istanbul, Turecko
http://linked.open...i/riv/nazevZdroje
  • Proceedings of the 18th International Business Information Management Association
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Svoboda, Jiří
  • Homolka, Lubor
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
number of pages
http://purl.org/ne...btex#hasPublisher
  • International Business Information Management Association
https://schema.org/isbn
  • 978-0-9821489-7-6
http://localhost/t...ganizacniJednotka
  • 28120
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