Evaluating Trading Strategies
Abstract
We provide some new tools to evaluate trading strategies. When it is known that many strategies and combinations of strategies have been tried, we need to adjust our evaluation method for these multiple tests. Sharpe Ratios and other statistics will be overstated. Our methods are simple to implement and allow for the real-time evaluation of candidate trading strategies.Related papers are: Backtesting as well as ... and the Cross-Section of...
Paper Details
Title
Evaluating Trading Strategies
Published Date
Jan 1, 2014
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