Dueker, Michael (contributor); … - 2003 - [Elektronische Ressource], rev.
at forecast horizons of 1, 5, 10, and 20
business days. The benchmark for comparison is the in-sample mean return.
3 … return, mean trades per year, the percentage of business days the trading
rule was long in the foreign currency, the Sharpe … forecast horizons of 1, 5, 10, and 20 business days. The ratios less than one in
the upper panel of Table 4 show that the …