Evaluating Trading Strategies

We provide some new tools to evaluate trading strategies. When it is known that many strategies and combinations of strategies have been tried, we need to adjust our evaluation method for these multiple tests. Sharpe Ratios and other statistics will be overstated. Our methods are simple to implement and allow for the real-time evaluation of candidate trading strategies.Related papers are: "http://ssrn.com/abstract=2345489" Backtesting as well as "http://ssrn.com/abstract=2249314" ... and the Cross-Section of Expected Returns

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Year of publication:	2019
Authors:	Harvey, Campbell R.
Other Persons:	Liu, Yan (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Außenwirtschaftspolitik \| Foreign economic policy \| Theorie \| Theory \| Bewertung \| Evaluation \| Strategie \| Strategy \| Portfolio-Management \| Portfolio selection \| Anlageverhalten \| Behavioural finance

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Extent:	1 Online-Ressource (16 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 25, 2014 erstellt
Other identifiers:	10.2139/ssrn.2474755 [DOI]
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G30 - Corporate Finance and Governance. General ; G00 - Financial Economics. General ; C12 - Hypothesis Testing ; C20 - Econometric Methods: Single Equation Models. General ; B41 - Economic Methodology
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012904784