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Evaluating Trading Strategies

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2014 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068, Copyright policy )
Authors: Campbell R. Harvey; Yan Liu;

doi: 10.2139/ssrn.2474755 , 10.3905/jpm.2014.40.5.108

Evaluating Trading Strategies

Abstract

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.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
74
Top 10%
Top 10%
Top 10%
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