Investment strategy evaluation with cointegration

This paper discusses a simple testing procedure based on cointegration that can be used to assess and compare the historical performance of trading systems and investment strategies. The proposed procedure, coined the 'cointegration cumulative profit' test, is applied in evaluating technical analysis-based trading systems on the daily Dow Jones Industrial Average and FT30 indexes, respectively.

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Year of publication:	1999
Authors:	Markellos, Raphael
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 6.1999, 3, p. 177-179
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009207653