Can Aggregate Performance Metric Be Used to Predict Future Returns?
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F12%3A43867868" target="_blank" >RIV/70883521:28120/12:43867868 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Can Aggregate Performance Metric Be Used to Predict Future Returns?
Original language description
The aim of this paper is to present an aggregate performance measure for indication of profitable trading systems. The performance measure consists of profitability, favourability, financial default and stability subindexes. The aggregate index is testedon 20 trading systems, across 16 currency pairs and evaluated on out of sample returns. Relationship between aggregate index value and out of sample returns is examined. The paper also discusses the strengths and weaknesses of elaborated model and provides possibilities to enhance the process of performance measurement of trading systems.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AE - Management, administration and clerical work
OECD FORD branch
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Result continuities
Project
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Continuities
V - Vyzkumna aktivita podporovana z jinych verejnych zdroju
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 18th International Business Information Management Association
ISBN
978-0-9821489-7-6
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
73-79
Publisher name
International Business Information Management Association
Place of publication
Istanbul, Turecko
Event location
Istanbul, Turecko
Event date
May 9, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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