Performance Measurement and Outperformance Tests

6533b870fe1ef96bd12cf050

RESEARCH PRODUCT

Performance Measurement and Outperformance Tests

subject

Measure (data warehouse)Moving average Computer science Econometrics Parametric methods Performance measurement Trading strategy Statistical hypothesis testing

description

This chapter explains how to evaluate the performance of a trading strategy and how to carry out a statistical test of the hypothesis that a moving average trading strategy outperforms the corresponding buy-and-hold strategy. In particular, it argues that there is no unique performance measure, reviews the most popular performance measures, and points to the limitations of these measures. The chapter then surveys the parametric methods of testing the outperformance hypothesis and the current “state of the art” non-parametric methods.

year	journal	country	edition	language
2017-01-01

https://doi.org/10.1007/978-3-319-60970-6_7

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