Evaluating trading strategies

Published

Journal Article

© 2014, Institutional Investor, Inc. All rights reserved. In this article, the authors provide some new tools to evaluate trading strategies. When it is known that many strategies and combinations of strategies have been tried, it is necessary to adjust our evaluation method for these multiple tests. Sharpe Ratios and other statistics will be overstated. The methods provided by the authors in this article are simple to implement and allow for the real?time evaluation of candidate trading strategies.

Full Text

Cited Authors

  • Harvey, CR; Yan, L

Published Date

  • January 1, 2014

Published In

Volume / Issue

  • 40 / 5

Start / End Page

  • 108 - 118

International Standard Serial Number (ISSN)

  • 0095-4918

Digital Object Identifier (DOI)

  • 10.3905/jpm.2014.40.5.108

Citation Source

  • Scopus