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Statements

Subject Item
n2:RIV%2F70883521%3A28120%2F12%3A43867868%21RIV13-MSM-28120___
rdf:type
n14:Vysledek skos:Concept
dcterms:description
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.
dcterms:title
Can Aggregate Performance Metric Be Used to Predict Future Returns? Can Aggregate Performance Metric Be Used to Predict Future Returns?
skos:prefLabel
Can Aggregate Performance Metric Be Used to Predict Future Returns? Can Aggregate Performance Metric Be Used to Predict Future Returns?
skos:notation
RIV/70883521:28120/12:43867868!RIV13-MSM-28120___
n14:predkladatel
n15:orjk%3A28120
n4:aktivita
n11:V
n4:aktivity
V
n4:dodaniDat
n13:2013
n4:domaciTvurceVysledku
n6:8990107 n6:1040960
n4:druhVysledku
n21:D
n4:duvernostUdaju
n17:S
n4:entitaPredkladatele
n19:predkladatel
n4:idSjednocenehoVysledku
125875
n4:idVysledku
RIV/70883521:28120/12:43867868
n4:jazykVysledku
n5:eng
n4:klicovaSlova
performance measurement, backtesting, out of sample, returns
n4:klicoveSlovo
n9:performance%20measurement n9:backtesting n9:out%20of%20sample n9:returns
n4:kontrolniKodProRIV
[B4EACF74F595]
n4:mistoKonaniAkce
Istanbul, Turecko
n4:mistoVydani
Istanbul, Turecko
n4:nazevZdroje
Proceedings of the 18th International Business Information Management Association
n4:obor
n16:AE
n4:pocetDomacichTvurcuVysledku
2
n4:pocetTvurcuVysledku
2
n4:rokUplatneniVysledku
n13:2012
n4:tvurceVysledku
Svoboda, Jiří Homolka, Lubor
n4:typAkce
n18:WRD
n4:zahajeniAkce
2012-05-09+02:00
s:numberOfPages
7
n7:hasPublisher
International Business Information Management Association
n3:isbn
978-0-9821489-7-6
n12:organizacniJednotka
28120