Artikel
Investment strategies that beat the market: What can we squeeze from the market?
The paper presents a new approach to optimizing automatic transactional systems. We propose a multi-stage technique which enables us to find investment strategies beating the market. Additionally, new measures of combined risk and returns are applied in the process of optimization. Moreover, we define new elements of a risk control system based on volatility measures and consecutive signal confirmation. As a result, we formulate three complex investment systems which maximize returns and simultaneously minimize risk in comparison to all other alternative investments (IR=2, Maximum Drawdown<21%, Maximum Loss Duration=0.75 year). Our analysis is based on historical daily data (1998-2010, in- and out-of-sample period) for index and commodity futures. Afterwards, the systems are reoptimized and reallocated each half a year in order to include the most recent financial data. Finally, we show the results for a joint model consisting of our three systems.
- Sprache
-
Englisch
- Erschienen in
-
Journal: e-Finanse: Financial Internet Quarterly ; ISSN: 1734-039X ; Volume: 14 ; Year: 2018 ; Issue: 4 ; Pages: 36-55 ; Warsaw: Sciendo
- Klassifikation
-
Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
International Financial Markets
Optimization Techniques; Programming Models; Dynamic Analysis
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
investment strategies
automatic trading systems
optimization
technical and fundamental analysis
market volatility
efficient risk and return measures
EMH
mutual and hedge funds
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ślepaczuk, Robert
Sakowski, Paweł
Zakrzewski, Grzegorz
- Ereignis
-
Veröffentlichung
- (wer)
-
Sciendo
- (wo)
-
Warsaw
- (wann)
-
2018
- DOI
-
doi:10.2478/fiqf-2018-0026
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Ślepaczuk, Robert
- Sakowski, Paweł
- Zakrzewski, Grzegorz
- Sciendo
Entstanden
- 2018
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