Trading system evaluation based on past performance: Random Signals Test

This paper introduces a new method for evaluating a trading system based on its past performance. The method is a hypothesis test that asks whether the system is making random trades. The test controls for price behavior during the test period and the trade characteristics of the system being tested. A system should be traded only if the null hypothesis of random trading is rejected.

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Year of publication:	2002-05-24
Authors:	Strashny, Alex
Institutions:	EconWPA
Subject:	system evaluation \| hypothesis testing \| trading

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; prepared on PC / Word; to print on any; pages: 13; figures: included. 2 figures. 13 pages
Classification:	G1 - General Financial Markets ; C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005561588