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Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...
Persistent link: https://www.econbiz.de/10003727376
In the past 20 years, momentum or trend following strategies have become an established part of the investor toolbox. We introduce a new way of analyzing momentum strategies by looking at the information ratio (IR, average return divided by standard deviation). We calculate the theoretical IR of...
Persistent link: https://www.econbiz.de/10013034189
ESG ratings as a stock screener for downside protection can be significantly improved when combined with sentiment indicators derived from news and social media. Following a statistical approach, consisting in evaluating thousands of long-only monthly-rebalanced random portfolios, we find...
Persistent link: https://www.econbiz.de/10013241318
There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...
Persistent link: https://www.econbiz.de/10012838940
For a market with m assets and T discrete trading sessions, Cover and Ordentlich (1998) found that the “Cost of Achieving the Best Rebalancing Rule in Hindsight” is p(T, m) = <sub>n<sub>1</sub> ···<sup>Σ</sup> n<sub>m</sub>=T</sub> (n<sub>1</sub>,<sup>T</sup>...,n<sub>m</sub>)(n<sub>1</sub>/T)(n<sub>1</sub> · · · (n<sub>m</sub>/T)<sup>n<sub>m</sub></sup>. Their super-replicating strategy is impossible to compute...
Persistent link: https://www.econbiz.de/10012909930
Persistent link: https://www.econbiz.de/10012660179
The financial economics literature proposes dozens of performance measures to be used, for instance, to compare, analyze, rank and select assets. There is thus a problem: which measures should be considered? The authors extend the current literature by comparing a large set of performance...
Persistent link: https://www.econbiz.de/10013124108
In this paper we extend the methodology of our earlier work (Papailias and Thomakos, 2011) on a modified moving average technical trading rule by allowing short sales. We show how short sales change the trading rule which now acts as a dynamic trailing "stop-and-reverse", instead of a dynamic...
Persistent link: https://www.econbiz.de/10013067141
This paper proposes a modified version of the widely used price and moving average cross-over trading strategies. The suggested approach (presented in its 'long only' version) is a combination of cross-over 'buy' signals and a dynamic threshold value which acts as a dynamic trailing stop. The...
Persistent link: https://www.econbiz.de/10013067434
This paper explores Bitcoin intraday technical trading based on artificial neural networks for the return prediction. In particular, our deep learning method successfully discovers trading signals through a seven layered neural network structure for given input data of technical indicators,...
Persistent link: https://www.econbiz.de/10012926779