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Evaluating Trading Strategies

Campbell R. Harvey (National Bureau of Economic Research, Duke University), Yan Liu (Purdue University West Lafayette)

The Journal of Portfolio Management
DOI: 10.3905/jpm.2014.40.5.108 (Economics, Econometrics and Finance)
License: not stated (all rights reserved)

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. TOPICS: Financial crises and financial market history , accounting and ratio analysis , statistical methods

Published on 30 Sep. 2014